日期精度：到日 9 篇 · 到月 11 篇 · 到年 8 篇
分数差分时间序列建模
Aspects of model building using fractionally differenced autoregressive-moving average processes are discussed. An algorithm for approximate maximum likelihood estimation is outlined and the large-sample distribution of the maximum likelihood estimates is derived. The large-sample distribution of the residual autocorrelations is also derived and a modified portmanteau test statistic is obtained for checking model adequacy.
The asymptotic distribution of residual autocorrelations in multivariate autoregressive index models is derived. Generalization of the classical portmanteau statistic for checking model adequacy is discussed.
多元自回归指数模型中残差自相关的分布
The asymptotic distribution of residual autocorrelations in multivariate autoregressive index models is derived. Generalization of the classical portmanteau statistic for checking model adequacy is discussed.
多变量ARMA时间序列模型中残差自相关的分布
SUMMARY The large-sample distribution of the multivariate residual autocorrelations in the vector arma model is derived. This result is somewhat less complicated for the vector autoregressive model. A new multivariate portmanteau test for checking the adequacy of fitted vector arma models is developed. A simulation study shows that a simple modification of the portmanteau test improves its accuracy in small samples.