Diagnostic Checks in Multiple Time Series Modelling

被引：0
作者：
Huong Nguyen Thu [1 ,2 ]
机构：
[1] Lulea Univ Technol, Dept Business Adm Technol & Social Sci, S-97187 Lulea, Sweden
[2] Foreign Trade Univ, Dept Math, Hanoi, Vietnam
来源：
ADVANCES IN TIME SERIES ANALYSIS AND FORECASTING | 2017年
关键词：
Goodness-of-fit; Model selection; VARMA(p; q); models; PORTMANTEAU TEST; RESIDUAL AUTOCORRELATIONS;
D O I：
10.1007/978-3-319-55789-2_11
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：147 / 158
页数：12
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