Portmanteau testing for nonstationary autoregressive moving-average models
by Chong Ching Yee
vii, 39 leaves ; 30 cm
The aim of this thesis is to derive the limiting distributions of the residual and the squared residual autocorrelation functions of the nonstationary autoregressive moving-average model, respectively. The results are used to construct two portmanteau statistics for testing the adequacy of the fitted model. Simulation results show that the tests have reasonable empirical sizes and powers in the finite samples.
Permanent URL for this record: https://lbezone.hkust.edu.hk/bib/b803248