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Diagnostic Checks in Multiple Time Series Modelling
Luleå tekniska universitet, Institutionen för ekonomi, teknik och samhälle, Samhällsvetenskap. Foreign Trade University, Department of Mathematics, Hanoi,.ORCID-id: 0000-0002-9832-7866
2017 (engelsk)Inngår i: Advances in Time Series Analysis and Forecasting: Selected Contributions from ITISE 2016 / [ed] Ignacio Rojas, Héctor Pomares, Olga Valenzuela, Cham: Springer , 2017, s. 147-158Konferansepaper, Publicerat paper (Fagfellevurdert)
Abstract [en]

The multivariate relation between sample covariance matrices of errors and their residuals is an important tool in goodness-of-fit methods. This paper generalizes a widely used relation between sample covariance matrices of errors and their residuals proposed by Hosking (J Am Stat Assoc 75(371):602–608, 1980 [6]). Consequently, the asymptotic distribution of the residual correlation matrices is introduced. As an extension of Box and Pierce (J Am Stat Assoc 65(332):1509–1526, 1970 [11]), the asymptotic distribution recommends a graphical diagnostic method to select a proper VARMA(p, q) model. Several examples and simulations illustrate the findings

sted, utgiver, år, opplag, sider
Cham: Springer , 2017. s. 147-158
Serie
Contributions to Statistics, ISSN 1431-1968
HSV kategori
Forskningsprogram
Nationalekonomi
Identifikatorer
URN: urn:nbn:se:ltu:diva-65091DOI: 10.1007/978-3-319-55789-2_11ISI: 000434672600011ISBN: 978-3-319-55788-5 (digital)ISBN: 978-3-319-55789-2 (tryckt)OAI: oai:DiVA.org:ltu-65091DiVA, id: diva2:1131692
Konferanse
International Work-Conference on Time Series (ITISE 2016), Grenada, Spain, June 27-29 2016
Tilgjengelig fra: 2017-08-15 Laget: 2017-08-15 Sist oppdatert: 2018-10-19bibliografisk kontrollert

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