On diagnostic checking of the autoregressive conditional intensity model

DOI10.1002/CJS.5550360405MaRDI QIDQ3626377zbMATH OpenOpenAlexFDO

Authors Simon Sai Man Kwok, Wai Keung Li

Publication date 22 May 2009

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.5550360405

zbMATH Keywords

diagnostig testgoodness of fitresidual autocorrelationsimulations

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• On the residual autocorrelation of the autoregressive conditional duration model
• Diagnostic checking for Weibull autoregressive conditional duration models
• A goodness-of-fit test for a class of autoregressive conditional duration models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators

Cites work

• A simple proof of the multivariate random time change theorem for point processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Evaluating financial time series models for irregularly spaced data: a spectral density approach
• scientific article; zbMATH DE number 3633585 (Why is no real title available?)
• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• scientific article; zbMATH DE number 2109191 (Why is no real title available?)
• Modelling security market events in continuous time: intensity based, multivariate point process models
• On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model
• On the residual autocorrelation of the autoregressive conditional duration model
• The equivalence of two tests of time series model adequacy

Cited in

(3)

• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• Using the Autodependogram in Model Diagnostic Checking
• Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations

This page was built for publication: On diagnostic checking of the autoregressive conditional intensity model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3626377)