Diagnostic checking using subspace methods
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 multivari...
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2009 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | español |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/49249 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/49249 |
| Access Level: | acceso abierto |
| Palabra clave: | Diagnostic checking Portmanteau tests Subspace methods. Finanzas |
| Sumario: | 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. |
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