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Article: Distribution of residual autocorrelations in multivariate ARMA time series models

TitleDistribution of residual autocorrelations in multivariate ARMA time series models
Authors
Li, WKMcLEOD, AI
KeywordsChecking model adequacy
Multivariate residual autocorrelation
Multivaritae time series
Portmanteau test
Vector autoregression
Issue Date1981
PublisherWiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB
Citation
Journal of the Royal Statistical Society. Series B: Statistical Methodology, 1981, v. 43 n. 2, p. 231-239 How to Cite?
AbstractThe large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model is derived. This result is somewhat less complicated for the vector autoregressive model. A new multivariate portmanteau test for checking the adequacy of fitted vector ARMA models is developed. A simulation study shows that a simple modification of the portmanteau test improves its accuracy in small samples.
Persistent Identifierhttp://hdl.handle.net/10722/137108
ISSN
1369-7412
2021 Impact Factor: 4.933
2020 SCImago Journal Rankings: 6.523
ISI Accession Number ID
WOS:A1981LZ09700015

 

DC FieldValueLanguage
dc.contributor.authorLi, WK-
dc.contributor.authorMcLEOD, AI-
dc.date.accessioned2011-08-16T06:55:50Z-
dc.date.available2011-08-16T06:55:50Z-
dc.date.issued1981-
dc.identifier.citationJournal of the Royal Statistical Society. Series B: Statistical Methodology, 1981, v. 43 n. 2, p. 231-239-
dc.identifier.issn1369-7412-
dc.identifier.urihttp://hdl.handle.net/10722/137108-
dc.description.abstractThe large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model is derived. This result is somewhat less complicated for the vector autoregressive model. A new multivariate portmanteau test for checking the adequacy of fitted vector ARMA models is developed. A simulation study shows that a simple modification of the portmanteau test improves its accuracy in small samples.-
dc.languageeng-
dc.publisherWiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB-
dc.relation.ispartofJournal of the Royal Statistical Society. Series B: Statistical Methodology-
dc.rightsThe definitive version is available at www3.interscience.wiley.com-
dc.subjectChecking model adequacy-
dc.subjectMultivariate residual autocorrelation-
dc.subjectMultivaritae time series-
dc.subjectPortmanteau test-
dc.subjectVector autoregression-
dc.titleDistribution of residual autocorrelations in multivariate ARMA time series modelsen_US
dc.typeArticleen_US
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1369-7412&volume=43&issue=2&spage=231&epage=239&date=1981&atitle=Distribution+of+residual+autocorrelations+in+multivariate+ARMA+time+series+models-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.volume43-
dc.identifier.issue2-
dc.identifier.spage231-
dc.identifier.epage239-
dc.identifier.isiWOS:A1981LZ09700015-
dc.identifier.issnl1369-7412-

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