A01=Wai Keung Li
ACD Model
advanced diagnostic methods for time series
ARMA
ARMA Model
ARMA modeling
ARMA Time Series
asymptotic
Asymptotic Chi Square Distribution
Asymptotic Distribution
Author_Wai Keung Li
autocorrelation
Autoregressive Conditional Heteroscedastic
Bilinear Model
Category=PBT
Category=PBWH
checking
conditional heteroscedasticity
Diagnostic Checking
distribution
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Fourth Order Moment
Hurst Phenomenon
ITSM
lagrange
Lagrange Multiplier Test
M1 Series
Model Diagnostic Checking
multiplier
Multivariate ARMA Model
nonlinear time series models
Par
Partial Autocorrelations
portmanteau
Portmanteau Statistic
portmanteau test
residual
residual autocorrelation
Residual Autocorrelations
Residual Cross-correlation
Sample Autocorrelations
Stationary ARMA Model
statistics
test
time series analysis
Time Series Models
Product details
- ISBN 9781584883371
- Weight: 550g
- Dimensions: 152 x 229mm
- Publication Date: 29 Dec 2003
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Hardback
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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.
Li, Wai Keung
