On residual analysis for time series models

Jiří Anděl

Kybernetika (1997)

  • Volume: 33, Issue: 2, page 161-170
  • ISSN: 0023-5954

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Anděl, Jiří. "On residual analysis for time series models." Kybernetika 33.2 (1997): 161-170. <http://eudml.org/doc/27460>.

@article{Anděl1997,
author = {Anděl, Jiří},
journal = {Kybernetika},
keywords = {time series; nonnormal; nonlinear; mean; variance; sample correlation functions; linearity; normality},
language = {eng},
number = {2},
pages = {161-170},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On residual analysis for time series models},
url = {http://eudml.org/doc/27460},
volume = {33},
year = {1997},
}

TY - JOUR
AU - Anděl, Jiří
TI - On residual analysis for time series models
JO - Kybernetika
PY - 1997
PB - Institute of Information Theory and Automation AS CR
VL - 33
IS - 2
SP - 161
EP - 170
LA - eng
KW - time series; nonnormal; nonlinear; mean; variance; sample correlation functions; linearity; normality
UR - http://eudml.org/doc/27460
ER -

References

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  1. G. E. P. Box, G. M. Jenkins, Models for Prediction and Control, Holden Day, New York 1970. (1970) MR0272138
  2. G. E. P. Box, D. A. Pierce, Distribution of residual autocorrelations in autoregressive-integrated moving average time series models, J. Amer. Statist. Assoc. 65 (1970), 1509-1526. (1970) Zbl0224.62041MR0273762
  3. H. Cramer, Mathematical Methods of Statistics, Princeton Univ. Press, Princeton 1946. (1946) Zbl0063.01014MR0016588
  4. N. Davies C. M. Triggs, P. Newbold, Significance of the Box-Pierce portmanteau statistics in finite samples, Biometrika 64 (1977), 517-522. (1977) MR0494753
  5. A. C. Harvey, Time Series Models, Harvester Wheatsheaf, New York 1993. (1993) Zbl0878.62061MR1230848
  6. J. R. M. Hosking, N. Ravishanker, Approximate simultaneous significance intervals for residual autocorrelations of autoregressive moving-average time series models, J. Time Ser. Anal. 14 (1993), 19-26. (1993) Zbl0825.62689MR1212260
  7. M. G. Kendall, A. Stuart, The Advanced Theory of Statistics. Vol. I: Distribution Theory, Griffin, London 1969. (1969) 
  8. A. J. Lawrance, P. A. W. Lewis, Higher-order residual analysis for nonlinear time series with autoregressive correlation structure, Internat. Statist. Rev. 55 (1987); 21-35. (1987) MR0962939
  9. A. J. Lawrance, P. A. W. Lewis, Reversed residuals in autoregressive time series analysis, J. Time Ser. Anal. 13 (1992), 253-266. (1992) Zbl0850.62670MR1168167
  10. G. M. Ljung, G. E. P. Box, On a measure of lack of fit in time series models, Biometrika 65 (1978), 297-303. (1978) Zbl0386.62079
  11. E. McKenzie, Product autoregression: a time series characterization of the gamma distribution, J. Appl. Probab. 19 (1982), 463-468. (1982) Zbl0491.60034MR0649988
  12. A. I. McLeod, On the distribution of residual autocorrelations in Box-Jenkins models, J. Roy. Statist. Soc. Ser. B 40 (1978), 296-302. (1978) Zbl0407.62065MR0522212
  13. A. I. McLeod, W. K. Li, Diagnostic checking ARMA time series models using squared-residual autocorrelations, J. Time Ser. Anal. 4 (1983), 269-273. (1983) Zbl0536.62067MR0738587

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