A basic goodness-of-fit process fro VARMA p,q modelsReport as inadecuate




A basic goodness-of-fit process fro VARMA p,q models - Download this document for free, or read online. Document in PDF available to download.

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

Issued date: 2011-04

Serie-No.: UC3M Working papers. Statistics and Econometrics11-09

Keywords: Brownian bridge , Error sample correlation matrix , Goodness-of- t process , VARMAp,q models , Weak convergence

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:This Working Paper presents some preliminary results for a new goodness-of- t method for VARMAp,q models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is aThis Working Paper presents some preliminary results for a new goodness-of- t method for VARMAp,q models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as an extension of a previously proposed technique in Ubierna and Velilla 2007. The limit behavior of this last random object is obtained as a consequence of a collection of asymptotic results that generalize those obtained previously in Hosking 1981 and Ubierna and Velilla 2007.+-





Author: Velilla, Santiago; Nguyen, Huong

Source: http://e-archivo.uc3m.es


Teaser



Universidad Carlos III de Madrid Repositorio institucional e-Archivo http:--e-archivo.uc3m.es Departamento de Estadística DES - Working Papers.
Statistics and Econometrics.
WS 2011-04 A basic goodness-of-fit process fro VARMA (p,q) models Velilla, Santiago http:--hdl.handle.net-10016-16830 Descargado de e-Archivo, repositorio institucional de la Universidad Carlos III de Madrid Working Paper 11 - 14 Departamento de Estadı́stica Statistics and Econometrics Series 09 Universidad Carlos III de Madrid April 2011 Calle Madrid, 126 28903 Getafe (Spain) Fax (34) 91 624-98-49 A BASIC GOODNESS-OF-FIT PROCESS FOR VARMA(p,q) MODELS Santiago Velillaa and Huong Nguyena Abstract This Working Paper presents some preliminary results for a new goodness-of-fit method for VARMA(p,q) models.
Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed.
A new goodness-of-fit process is also suggested, that can be seen as an extension of a previously proposed technique in Ubierna and Velilla (2007).
The limit behavior of this last random object is obtained as a consequence of a collection of asymptotic results that generalize those obtained previously in Hosking (1981) and Ubierna and Velilla (2007). Keywords: Brownian bridge, error sample correlation matrix, goodness-of-fit process, VARMA(p,q) models, weak convergence. a Universidad Carlos III de Madrid, Department of Statistics, Facultad de Ciencias Sociales y Jurdi- cas, Campus de Getafe, Madrid, Spain.
E-mail addresses: santiago.velilla@uc3m.es (Santiago Velilla) and huong.nguyen@uc3m.es.
(Huong Nguyen) 1 NOTATIONS AND BASIC ELEMENTS This section considers parameter estimates of multivariate time series.
The commonly used model, autoregressive moving average VARMA(p,q) process, is defined in section 1.1.
Different from the univariate case, the parameter estimation depends heavily on a estimator of the covariance matrix.
Section 1.4 contains some result...





Related documents