Cases of residual types in diagnostic checking for ARMA model

Year 2014, Volume: 43 Issue: 3, 543 - 552, 01.06.2014

Mehmet Guray Unsal , Resat Kasap

https://izlik.org/JA99EK62YN

Abstract

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

Keywords

ARMA Models , Diagnostic Checking , Residual Types , Time Series

References

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