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A note on the distribution of residual autocorrelations in VARMA(p,q) models
Luleå University of Technology, Department of Business Administration, Technology and Social Sciences, Social Sciences.ORCID iD: 0000-0002-9832-7866
2015 (English)In: Journal of Statistical and Econometric Methods, ISSN 2241-0384, E-ISSN 2241-0376, Vol. 4, no 3, 93-99 p.Article in journal (Refereed) Published
Abstract [en]

This paper generalizes the distribution of residual autocovariance matrices in VARMA(p,q) models obtained previously in Hosking (1980). A new simplified version of the multivariate relation between sample correlation matrix of the errors and its residuals is also established. The modifications are effective tools for identifying and dealing with the curse of dimensionality in multivariate time series.

Place, publisher, year, edition, pages
2015. Vol. 4, no 3, 93-99 p.
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:ltu:diva-6333Local ID: 48fa21e9-144c-416f-8f06-717a15585b83OAI: oai:DiVA.org:ltu-6333DiVA: diva2:979210
Note

Godkänd; 2015; 20151130 (huongu)

Available from: 2016-09-29 Created: 2016-09-29 Last updated: 2017-11-24Bibliographically approved

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