A new diagnostic tool for VARMA(p,q) models Articles uri icon

publication date

  • May 2019

international standard serial number (ISSN)

  • 0233-1888

electronic international standard serial number (EISSN)

  • 1029-4910

abstract

  • A new diagnostic method for VARMA(p,q) time series models is introduced. The procedure is based on a statistic that generalizes to a multivariate setting the properties of the usual univariate ARMA(p,q) residual correlations. A multiple version of the cumulative periodogram statistic is also suggested. Simulation studies and one real data application are presented.

keywords

  • adjusted residual traces; confidence bounds; cumulative periodogram statistic; residual correlogram; residual autocorrelations