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Comparative study of portmanteau tests for the residuals autocorrelation in ARMA models
The portmanteau statistic for testing the adequacy of an autoregressive moving average (ARMA) model is based on the first m autocorrelations of the residuals from the fitted model. We consider some of portmanteau tests for ...
Explicit Equations for ACF in Autoregressive Processes In the Presence of Heteroscedasticity Disturbances
The autocorrelation function, ACF, is an important guide to the properties of a time series. Explicit equations are derived for ACF in the presence of heteroscedasticity disturbances in pth order autoregressive, AR (p), ...