Diagnostic Checking in a Flexible Nonlinear Time Series Model

DOI10.1111/1467-9892.00316zbMath1036.62086OpenAlexW3123297601MaRDI QIDQ4455661

Alvaro Veiga, Marcelo C. Medeiros

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

neural networksheteroscedasticityserial independencediagnostic checkingparameter constancyflexible nonlinear time series model

Mathematics Subject Classification ID

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

Related Items (7)

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries ⋮ Asymptotic theory for regressions with smoothly changing parameters ⋮ Testing constancy of the error covariance matrix in vector models ⋮ Smooth transition autoregressive models and fuzzy rule-based systems: Functional equivalence and consequences ⋮ TESTING FOR REMAINING AUTOCORRELATION OF THE RESIDUALS IN THE FRAMEWORK OF FUZZY RULE-BASED TIME SERIES MODELLING ⋮ On detecting the optimal structure of a neural network under strong statistical features in errors ⋮ A comparison of statistical tests for the adequacy of a neural network regression model

Cites Work

• Testing the adequacy of smooth transition autoregressive models
• A new look at the statistical model identification
• Unnamed Item

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