.png)
376 – Contributed Oral Poster Presentations: Section on Statistical Computing
Practical Test for Goodness-of-Fit of Low-Order AR Models
Karim Rahim
Queen's University
David Thomson
Queen's University
This paper presents a practical test for goodness of fit of low-order Autoregressive (AR) models. The test compares the maximum absolute deviation between the estimated integrated spectrum and the theoretical integrated spectrum of an AR model. We demonstrate using simulation that the multitaper method results accurate estimates of AR model coefficients. Simulation is used to study the effectiveness of the goodness-of-fit test. Recently Tourre et al. (2011) presented a spectral analysis of the Burgundy Pinot Noir Grape Harvest Date (GHD) series using the multitaper method, and this analysis used an AR(1) model to prewhiten the data. We fit several AR models to the Pinot Noir series, then using our goodness-of-fit test, we determine that several AR models, including an AR(1), are reasonable for the GHD series.