The BDS statistic and residual test |
| |
Authors: | H S Kim D S Kang J H Kim |
| |
Institution: | (1) Department of Civil Engineering, Inha University, Incheon, Korea, KR;(2) Department of Water Resources, Kun-il Engineering Co., Ltd., Seoul, Korea, KR;(3) Department of Civil and Environmental Engineering, Korea University, Seoul, Korea, E-mail: jaykim@korea.ac.kr, KR |
| |
Abstract: | The conventional nonparametric tests have been widely used in many fields for the residual analysis of a fitted model on
observations. Also, in recent, a new technique called the BDS (Brock–Dechert–Scheinkman) statistic has been shown that it
can be used as a powerful tool for the residual analysis, especially, of a nonlinear system. The purpose of this study is
to compare the powers of the nonparametric tests and BDS statistic by residual analysis of the fitted models. This study evaluates
stochastic models for four monthly rainfalls in Korea through the residual analysis by using the conventional nonparametric
and BDS statistics. We use SARIMA and AR Error models for fitting each rainfall and perform the residual analysis by using
the test techniques. As a result, we find that the BDS statistic is more reasonable than the conventional nonparametric tests
for the residual analysis and AR Error model may be more appropriate than SARIMA model for modeling of monthly rainfalls.
This work was supported by grant No. R01-2001-000-00474-0 from the Basic Research Program of the Korea Science & Engineering
Foundation. |
| |
Keywords: | : Nonparametric tests Correlation integral BDS statistic SARIMA model AR Error model |
本文献已被 SpringerLink 等数据库收录! |
|