Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models

DOI10.1007/978-1-4939-6568-7_5zbMath1367.62265OpenAlexW2560827556MaRDI QIDQ4976479

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Publication date: 31 July 2017

Published in: Advances in Time Series Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-6568-7_5

zbMATH Keywords

limiting distributionsautoregressive modelportmanteau statisticspartially nonstationaryautoregressive moving-average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series
• Improved multivariate portmanteau test
• ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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