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Showing 1 to 2 of 2 for “"Residual autocorrelation function"”.
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Portmanteau Tests For Univariate And Multivariate Time Series Models
… developed, bases on exponential weights of the residual autocorrelation function and the residual partial autocorrelation function. The asymptotic distributions of the new univariate portmanteau tests were derived. Monte Carlo experiments were used to compare the performance of the two new tests …
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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 …