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ARFIMA(p,d,q) goodness-of-fit test 1.0

  Date Added: May 02, 2013  |  Visits: 205

ARFIMA(p,d,q) goodness-of-fit test

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Included in the submitted file:Jan Beran's goodness of fit test for ARFIMA(p,d,q) processes, which is the spectral domain equivalent of the Ljung-Box statistics.Can be used for model validation or model selection (eg.comparing the goodness of fit of an ARFIMA(1,d,0) vs. an ARFIMA(5,0,0) model).Also included an update to the main file of the estimator (my previous submission).Included a unit root test and made some minor modifications.Requirements:-Statistics Toolbox

Requirements: No special requirements
Platforms: Matlab
Keyword: Arfima Egcomparing Estimator Included Previous Statistics Submissionincluded Toolbox Update
Users rating: 0/10

License: Shareware Size: 10 KB
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