Voir la notice de l'article provenant de la source Czech Digital Mathematics Library
MR ZblAnděl, Jiří. On residual analysis for time series models. Kybernetika, Tome 33 (1997) no. 2, pp. 161-170. http://geodesic.mathdoc.fr/item/KYB_1997_33_2_a1/
@article{KYB_1997_33_2_a1,
author = {And\v{e}l, Ji\v{r}{\'\i}},
title = {On residual analysis for time series models},
journal = {Kybernetika},
pages = {161--170},
year = {1997},
volume = {33},
number = {2},
mrnumber = {1454276},
zbl = {0903.62070},
language = {en},
url = {http://geodesic.mathdoc.fr/item/KYB_1997_33_2_a1/}
}
[1] G. E. P. Box, G. M. Jenkins: Models for Prediction and Control. Holden Day, New York 1970. | MR
[2] G. E. P. Box, D. A. Pierce: Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. J. Amer. Statist. Assoc. 65 (1970), 1509-1526. | MR | Zbl
[3] H. Cramer: Mathematical Methods of Statistics. Princeton Univ. Press, Princeton 1946. | MR | Zbl
[4] N. Davies C. M. Triggs, P. Newbold: Significance of the Box-Pierce portmanteau statistics in finite samples. Biometrika 64 (1977), 517-522. | MR
[5] A. C. Harvey: Time Series Models. Harvester Wheatsheaf, New York 1993. | MR | Zbl
[6] J. R. M. Hosking, N. Ravishanker: Approximate simultaneous significance intervals for residual autocorrelations of autoregressive moving-average time series models. J. Time Ser. Anal. 14 (1993), 19-26. | MR | Zbl
[7] M. G. Kendall, A. Stuart: The Advanced Theory of Statistics. Vol. I: Distribution Theory. Griffin, London 1969.
[8] A. J. Lawrance, P. A. W. Lewis: Higher-order residual analysis for nonlinear time series with autoregressive correlation structure. Internat. Statist. Rev. 55 (1987); 21-35. | MR
[9] A. J. Lawrance, P. A. W. Lewis: Reversed residuals in autoregressive time series analysis. J. Time Ser. Anal. 13 (1992), 253-266. | MR | Zbl
[10] G. M. Ljung, G. E. P. Box: On a measure of lack of fit in time series models. Biometrika 65 (1978), 297-303. | Zbl
[11] E. McKenzie: Product autoregression: a time series characterization of the gamma distribution. J. Appl. Probab. 19 (1982), 463-468. | MR | Zbl
[12] A. I. McLeod: On the distribution of residual autocorrelations in Box-Jenkins models. J. Roy. Statist. Soc. Ser. B 40 (1978), 296-302. | MR | Zbl
[13] A. I. McLeod, W. K. Li: Diagnostic checking ARMA time series models using squared-residual autocorrelations. J. Time Ser. Anal. 4 (1983), 269-273. | MR | Zbl