Diagnostic checking using subspace methods

  1. Garcia-Hiernaux, Alfredo
Revista:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Año de publicación: 2009

Número: 3

Páginas: 1-22

Tipo: Documento de Trabajo

DIALNET GOOGLE SCHOLAR lock_openDocta Complutense editor

Otras publicaciones en: Documentos de Trabajo (ICAE)

Resumen

The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the multivariate case. The performance of the proposals is illustrated via Monte Carlo simulations and an example with real data.

Fuente de los datos: Dialnet