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Book: Diagnostic Checks in Time Series

TitleDiagnostic Checks in Time Series
Authors
Issue Date2004
PublisherChapman & Hall/CRC.
AbstractDiagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks and time series modeling is quite extensive, it has been difficult to find a book that adequately covers methods for performing diagnostic checks." "Diagnostic Checks in Time Series helps to fill that gap. Author Wai Keung Li concentrates on diagnostic checks for stationary time series and covers a range of different linear and nonlinear models, from various ARMA, threshold type, and bilinear models to conditional non-Gaussian and autoregressive heteroscedasticity (ARCH) models. Because of its broad applicability, the portmanteau goodness-of-fit test receives particular attention, as does the score test. Unlike most treatments, the author's approach is a practical one, and he looks at each topic through the eyes of a model builder rather than a mathematical statistician.
Persistent Identifierhttp://hdl.handle.net/10722/123253
ISBN
Series/Report no.Monographs on statistics and applied probability ; 102

 

DC FieldValueLanguage
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-26T11:57:42Z-
dc.date.available2010-09-26T11:57:42Z-
dc.date.issued2004en_HK
dc.identifier.isbn1584883375-
dc.identifier.urihttp://hdl.handle.net/10722/123253-
dc.description.abstractDiagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks and time series modeling is quite extensive, it has been difficult to find a book that adequately covers methods for performing diagnostic checks." "Diagnostic Checks in Time Series helps to fill that gap. Author Wai Keung Li concentrates on diagnostic checks for stationary time series and covers a range of different linear and nonlinear models, from various ARMA, threshold type, and bilinear models to conditional non-Gaussian and autoregressive heteroscedasticity (ARCH) models. Because of its broad applicability, the portmanteau goodness-of-fit test receives particular attention, as does the score test. Unlike most treatments, the author's approach is a practical one, and he looks at each topic through the eyes of a model builder rather than a mathematical statistician.-
dc.languageengen_HK
dc.publisherChapman & Hall/CRC.en_HK
dc.relation.ispartofseriesMonographs on statistics and applied probability ; 102-
dc.titleDiagnostic Checks in Time Seriesen_HK
dc.typeBooken_HK
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.identifier.hkuros85757en_HK
dc.identifier.spage1en_HK
dc.identifier.epage196en_HK
dc.publisher.placeBoca Raton-

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