DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
作者： Angus Ian McLeod , Wai Keung Li
DOI: 10.1111/J.1467-9892.1983.TB00373.X
关键词:
摘要: Squared‐residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive‐moving average (ARMA) …
hku.hk
core.ac.uk
sci-hub.se 参考文章(11)
G. E. P. Box, Mervin E. Muller, A Note on the Generation of Random Normal Deviates Annals of Mathematical Statistics. ,vol. 29, pp. 610- 611 ,(1958) , 10.1214/AOMS/1177706645
Patrick Billingsley, The Lindeberg-Lévy theorem for martingales Proceedings of the American Mathematical Society. ,vol. 12, pp. 788- 792 ,(1961) , 10.1090/S0002-9939-1961-0126871-X
J. Durbin, Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables Econometrica. ,vol. 38, pp. 410- 421 ,(1970) , 10.2307/1909547
Sidney Yakowitz, Nonparametric Estimation of Markov Transition Functions Annals of Statistics. ,vol. 7, pp. 671- 679 ,(1979) , 10.1214/AOS/1176344687
N. DAVIES, C. M . TRIGGS, P. NEWBOLD, Significance levels of the Box-Pierce portmanteau statistic in finite samples Biometrika. ,vol. 64, pp. 517- 522 ,(1977) , 10.1093/BIOMET/64.3.517
G. M. LJUNG, G. E. P. BOX, On a measure of lack of fit in time series models Biometrika. ,vol. 65, pp. 297- 303 ,(1978) , 10.1093/BIOMET/65.2.297
Sidney J. Yakowitz, A nonparametric Markov Model for daily river flow Water Resources Research. ,vol. 15, pp. 1035- 1043 ,(1979) , 10.1029/WR015I005P01035
Angus Ian McLeod, Keith William Hipel, Simulation procedures for Box‐Jenkins Models Water Resources Research. ,vol. 14, pp. 969- 975 ,(1978) , 10.1029/WR014I005P00969
Robert B. Miller, C. W. Granger, A. P. Andersen, An Introduction to Bilinear Time Series Models. Journal of the American Statistical Association. ,vol. 74, pp. 927- ,(1979) , 10.2307/2286429
A. I. McLeod, On the Distribution of Residual Autocorrelations in Box-Jenkins Models Journal of the Royal Statistical Society: Series B (Methodological). ,vol. 40, pp. 296- 302 ,(1978) , 10.1111/J.2517-6161.1978.TB01042.X