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A new diagnostic tool for VARMA(p,q) models
Stockholm University, Faculty of Science, Department of Mathematics.
Number of Authors: 22019 (English)In: Statistics (Berlin), ISSN 0233-1888, E-ISSN 1029-4910, E-ISSN 1029-4910, Vol. 53, no 4, p. 866-884Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2019. Vol. 53, no 4, p. 866-884
Keywords [en]
Adjusted residual traces, confidence bounds, cumulative periodogram statistic, residual correlogram
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:su:diva-170022DOI: 10.1080/02331888.2019.1619742ISI: 000469568400001OAI: oai:DiVA.org:su-170022DiVA, id: diva2:1329378
Available from: 2019-06-24 Created: 2019-06-24 Last updated: 2019-07-09Bibliographically approved

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