A new diagnostic tool for VARMA(p,q) models

DOI10.1080/02331888.2019.1619742MaRDI QIDQ5384672zbMATH OpenOpenAlexFDO

Authors

Publication date 24 June 2019

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2019.1619742

zbMATH Keywords

adjusted residual tracesconfidence boundscumulative periodogram statisticresidual correlogram

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

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Cites work

• A goodness-of-fit test for VARMA\((p, q)\) models
• Distribution of Multivariate White Noise Autocorrelations
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• Elements of multivariate time series analysis.
• Goodness of fit tests for spectral distributions
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 4147359 (Why is no real title available?)
• scientific article; zbMATH DE number 3738768 (Why is no real title available?)
• 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?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 3283198 (Why is no real title available?)
• Introduction to Time Series and Forecasting
• Multivariate time series analysis. With R and financial applications
• The Multivariate Portmanteau Statistic
• Time series: theory and methods.

Cited in

(5)

• Improved multivariate portmanteau test
• The diagnostic of m dimensional AR(p) models
• scientific article; zbMATH DE number 926560 (Why is no real title available?)
• scientific article; zbMATH DE number 1398574 (Why is no real title available?)
• Vector moving average models: a review

Describes a project that uses

Uses Software

• itsmr
• ITSM2000

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