DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES
作者:
Dong Wan Shin,
Jong Hyup Lee,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1996)
卷期:
Volume 17,
issue 1
页码: 105-109
ISSN:0143-9782
年代: 1996
DOI:10.1111/j.1467-9892.1996.tb00267.x
出版商: Blackwell Publishing Ltd
关键词: Residual autocovariance;residual autocorrelation;portmanteau statistic;nonstationary process;AR process
数据来源: WILEY
摘要:
Abstract.The residual autocorrelations in nonstationary autoregressive processes with autoregressive characteristic roots on the unit circle are considered. Limiting distributions of the residual autocovariances and the residual autocorrelations are shown to be the same as the limiting distributions when parameters are estimated with all roots on the unit circle known. The portmanteau statistic is shown to have a x2limiting distribution. The Canadian lynx data set is analysed to illustrate our theory. The portmanteau test seems also useful when the characteristic roots are close to the unit circle.
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