Cases of residual types in diagnostic checking for ARMA model

Authors : Mehmet Guray UNSAL, Resat KASAP

Pages : 543-552

View : 15 | Download : 5

Publication Date : 2014-06-01

Article Type : Research Paper

Abstract :In this study, the residuals in time series analysis, which were classified in four different classes as ”conditional residuals”, ”unconditional residuals”, ”innovation” and ”normalized residuals”, are calculated by a simulation study for the ARMA model under certain parameter values for different numbers of observation and their conditions in diagnostic checking are examined using the test statistic which belongs to Ljung Box
Keywords : ARMA Models, Diagnostic Checking, Residual Types, Time Series