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A new diagnostic tool for VARMA(p,q) models
Statistics ( IF 1.9 ) Pub Date : 2019-05-23 , DOI: 10.1080/02331888.2019.1619742
Santiago Velilla 1 , Huong Nguyen 2
Affiliation  

ABSTRACT A new diagnostic method for VARMA(p,q) time series models is introduced. The procedure is based on a statistic that generalizes to a multivariate setting the properties of the usual univariate ARMA(p,q) residual correlations. A multiple version of the cumulative periodogram statistic is also suggested. Simulation studies and one real data application are presented.

中文翻译:

VARMA(p,q) 模型的新诊断工具

摘要 介绍了 VARMA(p,q) 时间序列模型的新诊断方法。该过程基于一个统计量,该统计量将通常的单变量 ARMA(p,q) 残差相关性的属性推广到多变量设置。还建议使用多个版本的累积周期图统计量。介绍了模拟研究和一个真实的数据应用。
更新日期:2019-05-23
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