A Unified Test for the AR Error Structure of an Autoregressive Model
A direct application of autoregressive (AR) models with independent and identically distributed (iid) errors is sometimes inadequate to fit the time series data well. A natural alternative is further to assume the model errors following an AR process, whose structure however has essential impacts on...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-12-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/11/12/690 |