Diagnostic checks in time series. (©2004)
- Record Type:
- Book
- Title:
- Diagnostic checks in time series. (©2004)
- Main Title:
- Diagnostic checks in time series
- Further Information:
- Note: Wai Keung Li.
- Other Names:
- Li, Wai Keung, 1953-
- Contents:
- INTRODUCTION; DIAGNOSTIC CHECKS FOR UNIVARIATE LINEAR MODELS; Introduction; The Asymptotic Distribution of the Residual Autocorrelation Distribution; Modifications of the Portmanteau Statistic; Extension to Multiplicative Seasonal ARMA Models; Relation with the Lagrange Multiplier Test; A Test Based on the Residual Partial Autocorrelation test; A Test Based on the Residual Correlation Matrix test; Extension to Periodic Autoregressions; THE MULTIVARIATE LINEAR CASE; The Vector ARMA model; Granger Causality Tests; Transfer Function Noise (TFN) Modeling; ROBUST MODELING AND ROBUST DIAGNOSTIC CHECKING; A Robust Portmanteau Test; A Robust Residual Cross-Correlation Test; A Robust Estimation Method for Vector Time Series; The Trimmed Portmanteau Statistic; NONLINEAR MODELS; Introduction; Tests for General Nonlinear Structure; Tests for Linear vs. Specific Nonlinear Models; Goodness-of-Fit Tests for Nonlinear Time Series; Choosing Two Different Families of Nonlinear Models; CONDITIONAL HETEROSCEDASTICITY MODELS; The Autoregressive Conditional Heteroscedastic Model; Checks for the Presence of ARCH; Diagnostic Checking for ARCH Models; Diagnostics for Multivariate ARCH models; Testing for Causality in the Variance; FRACTIONALLY DIFFERENCED PROCESS; Introduction; Methods of Estimation; A Model Diagnostic Statistic; Diagnostics for Fractional Differencing; MISCELLANEOUS MODELS AND TOPICS; ARMA Models with Non-Gaussian Errors; Other Non-Gaussian time Series; The AutoregressiveINTRODUCTION; DIAGNOSTIC CHECKS FOR UNIVARIATE LINEAR MODELS; Introduction; The Asymptotic Distribution of the Residual Autocorrelation Distribution; Modifications of the Portmanteau Statistic; Extension to Multiplicative Seasonal ARMA Models; Relation with the Lagrange Multiplier Test; A Test Based on the Residual Partial Autocorrelation test; A Test Based on the Residual Correlation Matrix test; Extension to Periodic Autoregressions; THE MULTIVARIATE LINEAR CASE; The Vector ARMA model; Granger Causality Tests; Transfer Function Noise (TFN) Modeling; ROBUST MODELING AND ROBUST DIAGNOSTIC CHECKING; A Robust Portmanteau Test; A Robust Residual Cross-Correlation Test; A Robust Estimation Method for Vector Time Series; The Trimmed Portmanteau Statistic; NONLINEAR MODELS; Introduction; Tests for General Nonlinear Structure; Tests for Linear vs. Specific Nonlinear Models; Goodness-of-Fit Tests for Nonlinear Time Series; Choosing Two Different Families of Nonlinear Models; CONDITIONAL HETEROSCEDASTICITY MODELS; The Autoregressive Conditional Heteroscedastic Model; Checks for the Presence of ARCH; Diagnostic Checking for ARCH Models; Diagnostics for Multivariate ARCH models; Testing for Causality in the Variance; FRACTIONALLY DIFFERENCED PROCESS; Introduction; Methods of Estimation; A Model Diagnostic Statistic; Diagnostics for Fractional Differencing; MISCELLANEOUS MODELS AND TOPICS; ARMA Models with Non-Gaussian Errors; Other Non-Gaussian time Series; The Autoregressive Conditional Duration Model; A Power Transformation to Induce Normality; Epilogue … (more)
- Publisher Details:
- Boca Raton, FL : Chapman & Hall/CRC
- Publication Date:
- 2004
- Copyright Date:
- 2004
- Extent:
- 1 online resource (xiii, 196 pages), illustrations
- Subjects:
- 519.5/5
Time-series analysis
MATHEMATICS -- Probability & Statistics -- Time Series
Time-series analysis
Electronic books - Languages:
- English
- ISBNs:
- 0203485602
9780203485606
9781584883371
1584883375 - Related ISBNs:
- 1584883375
- Notes:
- Note: Includes bibliographical references (pages 169-188) and indexes.
Note: Print version record. - Access Rights:
- Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
- Access Usage:
- Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.
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- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD.DS.167514
- Ingest File:
- 01_059.xml