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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