在时间序列模型中的诊断检查基于残留物新的相关系数
Jian Pei1, Fukang Zhu1, Qi Li2
1School of Mathematics, Jilin University, Changchun, People's Republic of China.
Journal of applied statistics
|September 13, 2024
概括
本研究引入了一种新的时间序列模型诊断的等级相关系数,改进了现有的方法. 新的测试统计为各种时间序列模型的残余检查提供了卓越的性能.
科学领域:
- 统计 统计 统计 统计
- 计量经济学 计量经济学
- 时间序列分析时间序列分析
背景情况:
- 现有的时间序列模型诊断检查,如Ljung-Box,Li-Mak和Zhu-Wang统计,依赖于皮尔森的相关系数.
- 这些方法测试 (平方) 余 (部分) 自相关性,对于模型有效性至关重要.
研究的目的:
- 为时间序列模型残余诊断提出一个新的测试统计.
- 通过用新的等级相关系数取代皮尔森的相关系数来增强诊断检查.
主要方法:
- 开发一种使用等级相关系数的新测试统计.
- 将新统计数据应用于自回归移动平均数 (ARMA),自回归条件异构复杂性 (ARCH) 和整数值时间序列模型.
- 通过模拟对现有统计数据进行比较分析.
主要成果:
- 模拟结果表明,拟议的测试统计数据优于现有方法.
- 新的统计有效地在各种时间序列模型中进行残留物的诊断检查.
结论:
- 拟议的基于等级相关性的测试统计为时间序列模型诊断提供了更好的性能.
- 新统计的有用性进一步证明了它对三个真实世界数据集的应用.
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