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

DOI10.2307/2683756MaRDI QIDQ4122679zbMATH OpenOpenAlexFDO

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

(8)

• Hypothesis testing based on goodness-of-fit in the moving average time series model
• Identifying the computational problem in applied statistics
• Identifying financial time series with similar dynamic conditional correlation
• INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• Clustering multivariate time series by genetic multiobjective optimization
• Testing for Equal Predictability of Stationary ARMA Processes
• The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions

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