A Frequency Domain Bootstrap-Based Method for Checking the Fit of a Transfer Function Model
提出一种基于自举的频域方法，通过比较模型与数据的频域函数来检验传递函数模型的拟合效果，并识别模型不充分的来源。
Abstract 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. Key Words: CoherenceDynamic regression modelGainResampling methodSpectrum