On tests for model adequacy checking

Abstract EN

In this paper we derive the proposed general formula for 1) The alternative statistic T for the MA(q) process that was introduced in [5] ∫ ∫ − − ′ − ′ ′ = π π π π π π dw f w dw f w f w T f f f w ( ) log ( ) 2 1 ( ) ( ) 2 ( , ) log 1 and in [6] ∫ ∫ − − ′ = − π π π π π π T f f f w dw log f (w)dw 2 ( ) 1 2 ( , ) log 1 2) The variance of the estimated statistic Tˆ of that statistic.