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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

 

作者: G.E. P. Box,   DavidA. Pierce,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1970)
卷期: Volume 65, issue 332  

页码: 1509-1526

 

ISSN:0162-1459

 

年代: 1970

 

DOI:10.1080/01621459.1970.10481180

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Many statistical models, and in particular autoregressive—moving average time series models, can be regarded as means of transforming the data to white noise, that is, to an uncorrected sequence of errors. If the parameters are known exactly, this random sequence can be computed directly from the observations; when this calculation is made with estimates substituted for the true parameter values, the resulting sequence is referred to as the “residuals,” which can be regarded as estimates of the errors.

 

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