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Diagnostic Methods in Time Series

Part of the SpringerBriefs in Statistics Book Series

DOI: 10.1007/978-981-16-2264-9

ISBN: 978-981-16-2263-2

Publisher: Springer Singapore - Springer Journals

Jun 9, 2021

Available

Elements of Stochastic Processes

Akashi, Fumiya; Taniguchi, Masanobu; Monti, Anna Clara; Amano, Tomoyuki

Pages: 1 –8

[A great deal of data in economics, finance, engineering, and the natural sciences occur in the form of time series where observations are dependent and where the nature of this dependence is of interest. A model which describes the probability structure of time series observations...
Available

Systematic Approach for Portmanteau Tests

Akashi, Fumiya; Taniguchi, Masanobu; Monti, Anna Clara; Amano, Tomoyuki

Pages: 9 –24

[Box and Pierce (1970) proposed a test statistic TBP\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt}...
Available

A New Look at Portmanteau Test

Akashi, Fumiya; Taniguchi, Masanobu; Monti, Anna Clara; Amano, Tomoyuki

Pages: 25 –41

[The present chapter proposes a portmanteau-type test, based on a sort of likelihood ratio statistic, useful to test general parametric hypotheses inherent to statistical models, which includes the classical portmanteau tests and Whittle-type portmanteau test provided in Chap. 2 as special cases....
Available

Adjustments for a Class of Tests Under Nonstandard Conditions

Akashi, Fumiya; Taniguchi, Masanobu; Monti, Anna Clara; Amano, Tomoyuki

Pages: 43 –66

[Generally, the likelihood ratio statisticLikelihood ratio statistic (test) Λ\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek}...
Available

Adjustments for Variance Component Tests in ANOVA Models

Akashi, Fumiya; Taniguchi, Masanobu; Monti, Anna Clara; Amano, Tomoyuki

Pages: 67 –86

[This chapter focuses on the test for variance componentsVariance component in ANOVAANOVA models. Under the null hypothesis, the parameter of interest occurs on the boundaryBoundary of the parameter space, hence the likelihood ratioLikelihood ratio statistic (test) and the Wald statisticWald...
Available

Robust Causality Test of Infinite Variance Processes

Akashi, Fumiya; Taniguchi, Masanobu; Monti, Anna Clara; Amano, Tomoyuki

Pages: 87 –106

[This chapter developsCausality a robust causalityCausality test for time series models with infinite variance innovation processes. The testing problem of linear dependenceLinear dependence, feedbackLinear feedback and causalityCausality between two processes is as important as diagnostics for a...

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