Cases of residual types in diagnostic checking for ARMA model


Unsal M. G. , KASAP R.

HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS, cilt.43, ss.543-552, 2014 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 43 Konu: 3
  • Basım Tarihi: 2014
  • Dergi Adı: HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS
  • Sayfa Sayıları: ss.543-552

Özet

In this study, the residuals in time series analysis, which were classified in four different classes as "conditional residuals", "unconditional residuals", "innovation" and "normalized residuals", are calculated by a simulation study for the ARMA model under certain parameter values for different numbers of observation and their conditions in diagnostic checking are examined using the test statistic which belongs to Ljung Box.