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Showing 1 to 4 of 4 for “"Portmanteau test"”.
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Topics In Time Series Analysis And Forecasting
… large sample properties of the likelihood ratio test statistic. The asymptotic distribution of the AIC in PAR models is also discussed.;In estimation, an explicit expression for the efficiency of strongly consistent estimates for the ARMA(1,1) model is derived. Empirical efficiency and the …
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Portmanteau Tests For Univariate And Multivariate Time Series Models
… stationarity as measured by two standard tests, namely the standard Dickey-Fuller (DF) test and the Augmented Dickey-Fuller (ADF) test. The univariate time series case is examined. A stationary time series generated from a first-order autoregressive process with positive or negative values …
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Diagnostic Checking, Time Series and Regression
In this thesis, a new univariate-multivariate portmanteau test is derived. The proposed test statistic can be used for diagnostic checking ARMA, VAR, FGN, GARCH, and TAR time series models as well as for checking randomness of series and goodness-of- fit VAR models with stable Paretian errors. The …
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Generalized gamma spatial ARMA conditional model for speckled data: theoretical developments and applications
… The third study proposes a new spatial Portmanteau test for conditional spatial ARMA models, whether the ARMA model is separable or not, and for any distribution associated with the model. Monte Carlo simulations show good asymptotic properties of the proposed test statistic. In the …