Computing and using residuals in time series models

DOI10.1016/j.csda.2007.05.034zbMath1452.62664MaRDI QIDQ1023503

José Alberto Mauricio

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.05.034

zbMATH Keywords

innovations; autoregressive moving average model; conditional residuals; normalized residuals; unconditional residuals

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

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

Related Items

Beta seasonal autoregressive moving average models

Uses Software

• itsmr
• AS 154
• AS 197

Cites Work

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• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• Finite sample properties of estimators for autoregressive moving average models
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• On a measure of lack of fit in time series models
• The likelihood function of stationary autoregressive-moving average models
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Introduction to Time Series and Forecasting
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
• Matrix Analysis of Linear Time-Varying Circuits
• Elements of multivariate time series analysis.