Cases of residual types in diagnostic checking for ARMA model

Unsal M. G., KASAP R.

HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS, cilt.43, sa.3, ss.543-552, 2014 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 43 Sayı: 3
  • Basım Tarihi: 2014
  • Dergi Adı: HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.543-552
  • Anahtar Kelimeler: ARMA Models, Diagnostic Checking, Residual Types, Time Series, TIME-SERIES MODELS
  • Gazi Üniversitesi Adresli: Evet

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.