DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

Journal of Time Series Analysis - Tập 4 Số 4 - Trang 269-273 - 1983
A. Ian McLeod1, W. K. Li2
1Department of Statistical and Actuarial Sciences, The University of Western Ontario
2Department of Statistics University of Hong Kong

Tóm tắt

Abstract. Squared‐residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive‐moving average (ARMA) models (Granger and Andersen, 1978; Miller, 1979). In this note it is shown that the normalized squared‐residual autocorrelations are asymptotically unit multivariate normal. The results of a simulation experiment confirming the small‐sample validity of the proposed tests is reported.

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