The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models

DOI10.2307/2683756zbMATH Open0352.62082OpenAlexW4249575394MaRDI QIDQ4122679FDOQ4122679

Authors: Charles R. Nelson 

Publication date: 1976

Published in: The American Statistician (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2683756

Mathematics Subject Classification ID

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

Cited In (7)

• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• Hypothesis testing based on goodness-of-fit in the moving average time series model
• Testing for Equal Predictability of Stationary ARMA Processes
• Identifying financial time series with similar dynamic conditional correlation
• Clustering multivariate time series by genetic multiobjective optimization
• Identifying the computational problem in applied statistics
• INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS

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