| Title:
|
On residual analysis for time series models (English) |
| Author:
|
Anděl, Jiří |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
33 |
| Issue:
|
2 |
| Year:
|
1997 |
| Pages:
|
161-170 |
| . |
| Category:
|
math |
| . |
| MSC:
|
62E20 |
| MSC:
|
62M10 |
| MSC:
|
90A20 |
| idZBL:
|
Zbl 0903.62070 |
| idMR:
|
MR1454276 |
| . |
| Date available:
|
2009-09-24T19:07:54Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124305 |
| . |
| Reference:
|
[1] G. E. P. Box, G. M. Jenkins: Models for Prediction and Control.Holden Day, New York 1970. MR 0272138 |
| Reference:
|
[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. Zbl 0224.62041, MR 0273762 |
| Reference:
|
[3] H. Cramer: Mathematical Methods of Statistics.Princeton Univ. Press, Princeton 1946. Zbl 0063.01014, MR 0016588 |
| Reference:
|
[4] N. Davies C. M. Triggs, P. Newbold: Significance of the Box-Pierce portmanteau statistics in finite samples.Biometrika 64 (1977), 517-522. MR 0494753 |
| Reference:
|
[5] A. C. Harvey: Time Series Models.Harvester Wheatsheaf, New York 1993. Zbl 0878.62061, MR 1230848 |
| Reference:
|
[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. Zbl 0825.62689, MR 1212260 |
| Reference:
|
[7] M. G. Kendall, A. Stuart: The Advanced Theory of Statistics. Vol. I: Distribution Theory.Griffin, London 1969. |
| Reference:
|
[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. MR 0962939 |
| Reference:
|
[9] A. J. Lawrance, P. A. W. Lewis: Reversed residuals in autoregressive time series analysis.J. Time Ser. Anal. 13 (1992), 253-266. Zbl 0850.62670, MR 1168167 |
| Reference:
|
[10] G. M. Ljung, G. E. P. Box: On a measure of lack of fit in time series models.Biometrika 65 (1978), 297-303. Zbl 0386.62079 |
| Reference:
|
[11] E. McKenzie: Product autoregression: a time series characterization of the gamma distribution.J. Appl. Probab. 19 (1982), 463-468. Zbl 0491.60034, MR 0649988 |
| Reference:
|
[12] A. I. McLeod: On the distribution of residual autocorrelations in Box-Jenkins models.J. Roy. Statist. Soc. Ser. B 40 (1978), 296-302. Zbl 0407.62065, MR 0522212 |
| Reference:
|
[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. Zbl 0536.62067, MR 0738587 |
| . |
