The DOI matches its Crossref record; 11 of the 11 references it cites were found in a registry or an index.
DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
Abstract
Abstract.Squared‐residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive‐moving average (ARMA) models (Granger and Andersen, 1978; Miller, 1979). In this note it is shown that the normalized squared‐residual autocorrelations are asymptotically unit multivariate normal. The results of a simulation experiment confirming the small‐sample validity of the proposed tests is reported.
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Cites
Linear Statistical Inference and its Applications: Second Editon
Rao, C. R. (1973) · Wiley Series in Probability and Statistics · doi:10.1002/9780470316436 · Cited by 10,489
On a measure of lack of fit in time series models
LJUNG, G. M., & BOX, G. E. P. (1978) · Biometrika · doi:10.1093/biomet/65.2.297 · Cited by 6,668
Time Series Analysis: Forecasting and Control
Kleiner, B. (1977) · Technometrics · doi:10.1080/00401706.1977.10489562 · Cited by 6,446
A Note on the Generation of Random Normal Deviates
Box, G. E. P., & Muller, M. E. (1958) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177706645 · Cited by 3,401
Practical Nonparametric Statistics
Bhapkar, V., & Conover, W. J. (1972) · Technometrics · doi:10.2307/1267149 · Cited by 1,410
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Tong, H., & Lim, K. S. (1980) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1980.tb01126.x · Cited by 1,309
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An Introduction to Bilinear Time Series Models.
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Encyclopedia of computer science
(2001) · Choice Reviews Online · doi:10.5860/choice.38-3650 · Cited by 300
The Lindeberg-Lévy theorem for martingales
Billingsley, P. (1961) · Proceedings of the American Mathematical Society · doi:10.1090/s0002-9939-1961-0126871-x · Cited by 276
Cited by
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Variational Mode Decomposition
Dragomiretskiy, K., & Zosso, D. (2014) · IEEE Transactions on Signal Processing · doi:10.1109/tsp.2013.2288675 · Cited by 9,184
Forecasting with artificial neural networks:
Zhang, G., Eddy Patuwo, B., & Y. Hu, M. (1998) · International Journal of Forecasting · doi:10.1016/s0169-2070(97)00044-7 · Cited by 4,229
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
Metadata
- Authors
- McLeod, A. I., & Li, W. K.
- Venue
- Journal of Time Series Analysis
- Publisher
- Wiley
- Published
- 1983-07
- Volume
- 4
- Issue
- 4
- Pages
- 269-273
- ISSN
- 0143-9782 (ISSN-L)
- 1467-9892
- OpenAlex
- W2021760340
- Cited by
- 1,123
- References
- 11
- FWCI
- 13.71
- Type
- journal article
- Language
- en
- Open access
- closed
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- McLeod, A. I., & Li, W. K. (1983). DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS. Journal of Time Series Analysis. https://doi.org/10.1111/j.1467-9892.1983.tb00373.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
