A Frequency Domain Bootstrap-Based Method for Checking the Fit of a Transfer Function Model
作者:
Efstathios Paparoditis,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1996)
卷期:
Volume 91,
issue 436
页码: 1535-1550
ISSN:0162-1459
年代: 1996
DOI:10.1080/01621459.1996.10476721
出版商: Taylor & Francis Group
关键词: Coherence;Dynamic regression model;Gain;Resampling method;Spectrum
数据来源: Taylor
摘要:
Transfer function models have been used for modeling the linear dependence between stationary time series and for improving the accuracy of forecasts. This article proposes a method to evaluate the fit of such a model by comparing certain frequency domain functionals of the model with those of the data using a model-based bootstrap algorithm. The method works by checking the ability of the fitted model to reproduce the dynamic relationship and the linear dependence structure of the data. Furthermore, the method addresses the problem of the possible sources of model inadequacy. The asymptotic validity of the bootstrap procedure used to evaluate the distribution of the statistics considered is proved some examples illustrating the ability of the proposed method to check the overall fit and to detect sources of model inadequacy are given.
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