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Article: Diagnostic checking arma time series models using squared-residual autocorrelations

TitleDiagnostic checking arma time series models using squared-residual autocorrelations
Authors
McLeod, AILi, WK
KeywordsARMA time series
Diagnostic checking
Nonlinear time series
Portmanteau test
Testing for statistical independence
Issue Date1983
PublisherBlackwell Publishing Ltd.
Citation
Journal of Time Series Analysis, 1983, v. 4 n. 4, p. 269–273 How to Cite?
DOI: http://dx.doi.org/10.1111/j.1467-9892.1983.tb00373.x
AbstractSquared-residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive-moving average (ARMA) models (Granger and Andersen, 1978; Miller, 1979). In this note it is shown that the normalized squared-residual autocorrelations are asymptotically unit multivariate normal. The results of a simulation experiment confirming the small-sample validity of the proposed tests is reported.
Persistent Identifierhttp://hdl.handle.net/10722/130636
ISSN
0143-9782
2021 Impact Factor: 1.208
2020 SCImago Journal Rankings: 1.576

 

DC FieldValueLanguage
dc.contributor.authorMcLeod, AI-
dc.contributor.authorLi, WK-
dc.date.accessioned2010-12-31T02:14:35Z-
dc.date.available2010-12-31T02:14:35Z-
dc.date.issued1983-
dc.identifier.citationJournal of Time Series Analysis, 1983, v. 4 n. 4, p. 269–273-
dc.identifier.issn0143-9782-
dc.identifier.urihttp://hdl.handle.net/10722/130636-
dc.description.abstractSquared-residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive-moving average (ARMA) models (Granger and Andersen, 1978; Miller, 1979). In this note it is shown that the normalized squared-residual autocorrelations are asymptotically unit multivariate normal. The results of a simulation experiment confirming the small-sample validity of the proposed tests is reported.-
dc.languageeng-
dc.publisherBlackwell Publishing Ltd.-
dc.relation.ispartofJournal of Time Series Analysis-
dc.rightsJournal of Time Series Analysis. Copyright © Blackwell Publishing Ltd.-
dc.rightsThe definitive version is available at www.blackwell-synergy.com-
dc.subjectARMA time series-
dc.subjectDiagnostic checking-
dc.subjectNonlinear time series-
dc.subjectPortmanteau test-
dc.subjectTesting for statistical independence-
dc.titleDiagnostic checking arma time series models using squared-residual autocorrelationsen_US
dc.typeArticleen_US
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0143-9782&volume=4&issue=4&spage=269–273&epage=&date=1983&atitle=Diagnostic+checking+arma+time+series+models+using+squared-residual+autocorrelations-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.doi10.1111/j.1467-9892.1983.tb00373.x-
dc.identifier.scopuseid_2-s2.0-84986777926-
dc.identifier.volume4-
dc.identifier.issue4-
dc.identifier.spage269-
dc.identifier.epage273-
dc.identifier.issnl0143-9782-

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