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

DOI10.1080/02331888.2019.1619742zbMath1440.62338OpenAlexW2945434447MaRDI QIDQ5384672

No author found.

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

confidence boundsadjusted residual tracesresidual correlogramcumulative periodogram statistic

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)

Uses Software

• itsmr
• ITSM2000

Cites Work

• Goodness of fit tests for spectral distributions
• Time series: theory and methods.
• A goodness-of-fit test for VARMA\((p, q)\) models
• Introduction to Time Series and Forecasting
• The Multivariate Portmanteau Statistic
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• Distribution of Multivariate White Noise Autocorrelations
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Elements of multivariate time series analysis.
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