A basic goodness-of-fit process fro VARMA (p,q) models

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dc.contributor.author Velilla Cerdan, Santiago
dc.contributor.author Nguyen, Huong
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2013-04-26T08:32:36Z
dc.date.available 2013-04-26T08:32:36Z
dc.date.issued 2011-04
dc.identifier.uri http://hdl.handle.net/10016/16830
dc.description.abstract This Working Paper presents some preliminary results for a new goodness-of- t method for VARMA(p,q) models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as an extension of a previously proposed technique in Ubierna and Velilla (2007). The limit behavior of this last random object is obtained as a consequence of a collection of asymptotic results that generalize those obtained previously in Hosking (1981) and Ubierna and Velilla (2007).
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 11-09
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Brownian bridge
dc.subject.other Error sample correlation matrix
dc.subject.other Goodness-of- t process
dc.subject.other VARMA(p,q) models
dc.subject.other Weak convergence
dc.title A basic goodness-of-fit process fro VARMA (p,q) models
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.repec ws111409
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