A new diagnostic tool for VARMA(p,q) models Articles
- STATISTICS Journal
- May 2019
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- 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.
- adjusted residual traces; confidence bounds; cumulative periodogram statistic; residual correlogram