Diagnostic checking using subspace methods

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

ISSN: 2341-2356

Any de publicació: 2009

Número: 3

Pàgines: 1-22

Tipus: Document de treball

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Altres publicacions en: Documentos de Trabajo (ICAE)

Resum

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.

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