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A new goodness-of-fit process for VARMA(p,q) models: construction and empirical properties
Universidad Carlos III de Madrid, Department of Statistics, Facultad de Ciencias Sociales y Jurıdicas, Campus de Getafe.
Universidad Carlos III de Madrid, Department of Statistics, Facultad de Ciencias Sociales y Jurıdicas, Campus de Getafe.ORCID iD: 0000-0002-9832-7866
2013 (English)Report (Other academic)
Abstract [en]

As an extension of the univariate technique in Ubierna and Velilla (2007), we present a goodness-of-fit process for VARMA(p,q) models in which the residuals of the fit are considered. We also formulatean explicit form of the asymptotic covariance function, as well as a suitable representation of the limitprocess. More importantly, we propose a new goodness-of-fit process based on a transformed correlationmatrix sequence. The new goodness-of-fit process is proved to converge weakly to the Brownian bridge.Several simulations, comparisons, and examples are presented. These results illustrate the scope of bothour theoretical findings and contributions. Our method is shown to be sensitive to detect lack of fit.Thus, it can be considered as a useful tool tool for identifying a proper time series model.

Place, publisher, year, edition, pages
Getafe: Departamento de Estadıstica Universidad Carlos III de Madrid , 2013. , 40 p.
Series
Working Paper, ISSN 1404-1480 ; 13:23
Series
Statistics and Econometrics Series, 21
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:ltu:diva-23435Local ID: 6f37c71f-d76e-4e3e-b88a-59d88b0081beOAI: oai:DiVA.org:ltu-23435DiVA: diva2:996484
Note
Upprättat; 2013; 20160526 (andbra)Available from: 2016-09-29 Created: 2016-09-29 Last updated: 2017-11-24Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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