Journal ArticleDOI
A goodness-of-fit process for ARMA(p,q) models based on a modified residual autocorrelation sequence
Andrés Ubierna,Santiago Velilla +1 more
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TLDR
A modified goodness-of-fit process based on a transformation of the residual autocorrelations for ARMA models is introduced, which is found to perform better in some simulation experiments at the cost of some increased numerical complexity.About:
This article is published in Journal of Statistical Planning and Inference.The article was published on 2007-09-01. It has received 8 citations till now. The article focuses on the topics: Asymptotic distribution & Brownian bridge.read more
Citations
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Journal ArticleDOI
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
Journal ArticleDOI
Time Series—A Biostatistical Introduction
TL;DR: In this paper, the authors present a biostatistical introduction of the Time Series, a time series for time series, and a Biostatistic Introduction of time series.
Proceedings ArticleDOI
Method of Ground Settlement Prediction in Urban Tunnel Construction Based on ARMA
TL;DR: The auto regressive moving average process of tunnel deformation prediction during construction, which can modulate model parameters according to the input and output data, adjust them to its optimal values in some statistical conditions through the iterative algorithm is modeled.
Journal ArticleDOI
A goodness-of-fit test for VARMA(p, q) models
TL;DR: In this article, a goodness-of-fit approach for multivariate VARMA(p, q) models is presented, where a stochastic process based on a modified residual correlation matrix sequence is shown to converge to the Brownian bridge.
Posted Content
A basic goodness-of-fit process for VARMA(p,q) models
TL;DR: In this article, a new goodness-of-t method for VARMA(p,q) models is proposed, and the relation between least squares residuals and true errors is re-examined.
References
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Journal ArticleDOI
On a measure of lack of fit in time series models
Greta M. Ljung,George E. P. Box +1 more
TL;DR: In this paper, the overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered, and it is shown that a substantially improved approximation results from a simple modification of this test.
Journal ArticleDOI
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
Journal ArticleDOI
Time Series Analysis: Forecasting and Control
Book
Time Series: Theory and Methods
TL;DR: In this article, the mean and autocovariance functions of ARIMA models are estimated for multivariate time series and state-space models, and the spectral representation of the spectrum of a Stationary Process is inferred.