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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
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?
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
2015 Impact Factor: 1.0
2015 SCImago Journal Rankings: 1.177

 

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.volume4-
dc.identifier.issue4-
dc.identifier.spage269-
dc.identifier.epage273-

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