A METHOD FOR DIAGNOSTIC CHECKING OF TIME SERIES MODELS

Per Hokstad

Journal of Time Series Analysis, 1983, vol. 4, issue 3, 177-183

Abstract: Abstract. Suppose a tentative ARMA (p, q)‐model has been fitted to a stationary time series. A diagnostic check for this model is suggested, using the estimated cross correlation function (CCF) between the observed series and the residuals. The CCF may also indicate how the model can be improved. The method is applied to the Wolfer sunspot series. For AR (p)‐processes the asymptotic covariance matrix of the estimated cross correlations is obtained.

Date: 1983
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1983.tb00367.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:4:y:1983:i:3:p:177-183

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().