Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models
Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models
复制标题
DOI：
10.1111/j.2517-6161.1981.tb01175.x
复制
发表时间：
1981
期刊：
影响因子：
--
通讯作者：
W. Li;A. McLeod
中科院分区：
文献类型：
--
作者：
W. Li;A. McLeod
推导了向量阿尔马模型中多元残差自相关的大样本分布。对于向量自回归模型，这个结果稍微不那么复杂。本文提出了一种新的检验向量阿尔马模型拟合效果的多元组合检验方法。仿真研究表明，一个简单的修改的portmanteau测试，提高了其在小样本的准确性。
The large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model is derived. This result is somewhat less complicated for the vector autoregressive model. A new multivariate portmanteau test for checking the adequacy of fitted vector ARMA models is developed. A simulation study shows that a simple modification of the portmanteau test improves its accuracy in small samples.