[PDF] Diagnostic Checks in Time Series (Chapman & Hall/CRC Monographs on Statistics & Applied Probability)

ISBN: 1584883375

Category: Tutorial


Posted on 2017-10-31, by luongquocchinh.

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Author: Wai Keung Li | Publisher: Chapman and Hall/CRC | Category: Mathematics | Language: English | Page: 216 | ISBN: 1584883375 | ISBN13: 9781584883371 |

Description: Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that gap. Author Wai Keung Li one of the world's top authorities in time series modeling concentrates on diagnostic checks for stationary time series and covers a range of different linear and nonlinear models, from various ARMA, threshold type, and bilinear models to conditional non-Gaussian and autoregressive heteroscedasticity (ARCH) models. Because of its broad applicability, the portmanteau goodness-of-fit test receives particular attention, as does the score test. Unlike most treatments, the author's approach is a practical one, and he looks at each topic through the eyes of a model builder rather than a mathematical statistician. This book brings together the widely scattered literature on the subject, and with clear explanations and focus on applications, it guides readers through the final stages of their modeling efforts. With Diagnostic Checks in Time Series, you will understand the relative merits of the models discussed, know how to estimate these models, and often find ways to improve a model.

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