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Diagnostic checking using subspace methods


García Hiernaux, Alfredo (2009) Diagnostic checking using subspace methods. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0901, 2009, ] (No publicado)

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The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the multivariate case. The performance of the proposals is illustrated via Monte Carlo simulations and an example with real data.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Diagnostic checking, Portmanteau tests, Subspace methods
Materias:Ciencias Sociales > Economía > Finanzas
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:8589

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Depositado:03 Mar 2009 09:23
Última Modificación:06 Feb 2014 08:10

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