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

Version 1.0.0.0 (6.07 KB) by György Inzelt
Goodness of fit test for post-validating fitted ARFIMA(p,d,q)processes
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Updated 10 Feb 2011

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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

Cite As

György Inzelt (2024). ARFIMA(p,d,q) goodness-of-fit test (https://www.mathworks.com/matlabcentral/fileexchange/30355-arfima-p-d-q-goodness-of-fit-test), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
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Version Published Release Notes
1.0.0.0