Diagnostic Checking in a Flexible Nonlinear Time Series Model

DOI10.1111/1467-9892.00316MaRDI QIDQ4455661zbMATH OpenOpenAlexFDO

Authors Marcelo C. Medeiros, Alvaro Veiga

Publication date 16 March 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00316

zbMATH Keywords

diagnostic checkingflexible nonlinear time series modelheteroscedasticityneural networksparameter constancyserial independence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A new look at the statistical model identification
• scientific article; zbMATH DE number 1944300 (Why is no real title available?)
• Testing the adequacy of smooth transition autoregressive models

Cited in

(10)

• Diagnostic checking in linear processes with infinite variance
• Asymptotic theory for regressions with smoothly changing parameters
• Diagnostic check for heavy tail in linear time series
• Smooth transition autoregressive models and fuzzy rule-based systems: Functional equivalence and consequences
• Theory study and empirical analysis on nonlinearity tests for an LSTAR model with two thresholds
• A comparison of statistical tests for the adequacy of a neural network regression model
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modelling
• Testing constancy of the error covariance matrix in vector models
• On detecting the optimal structure of a neural network under strong statistical features in errors

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