Fast Graphical Goodness of Fit Test for Time Series Models

摘要

The oscillatory appearance of stationary time series is captured very economically by only a few higher order crossings which in addition contain a great deal of the spectral content of the process. A useful approximation to the variances of higher order crossings is discussed and is applied in construction of probability limits for the hypothesized higher order crossings. From this, a graphical display of higher order crossings together with their probability limits provide a fast goodness of fit test. Examples illustrate the applicability of this device. (Author)