DIAGNOSTIC CHECKING FOR TIME SERIES MODELS USING NONPARAMETRIC APPROACH

被引：0

作者：

钟登华

尼伯伦丁

机构：

[1] 天津大学

[2] 约恩苏大学

来源：

Transactions of Tianjin University | 1997年 / 01期

关键词：

Bootstrap方法; 诊断检验; 非参数方法; 时间序列; 白噪声; ρ算法;

D O I：

暂无

中图分类号：

O213 [应用统计数学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

提出一种时间序列模型残差诊断捡验的非参数方法．基于残差与时间ｔ的最大相关系数ρ２＊，在零假设Ｈ０∶ρ２＊＝０下，用Ｂｏｏｔｓｔｒａｐ方法建立统计量ρ２＊的零分布。为计算ρ２＊，提出了一种与ＡＣＥ算法相似的ρ算法。有效性分析表明该方法比Ｌｊｕｎｇ－Ｂｏｘ检验更有效。同时还列出一计算机模拟结果和两个实例．

引用

页码：45 / 49

页数：5

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