| |
Issue No:9 Vol.3 |
September - 2010 |
ISSN: 0974-5645 |
| RESEARCH ARTICLES |
Viewers & PDF |
| 11. Diagnostic checking of time series models. . P. Sekar. Indian J.Sci.Technol. Vol. 3, Issue 8, pp: 1026-1031. Domain site: http://www.indjst.org. |
 
|
- Abstract
Diagnostic checks have become a standard tool for identification of models before forecasting the data. The overall test
for lack of fit for autoregressive moving average models proposed by Box and Pierce (1970) and a measure of lack of
fit in time series models proposed by Ljung and Box (1978) are considered. In this paper, a modification is made and it
is shown that a substantially improved approximation results from a simple improvement of this test. Cumulative
periodogram check is also given.
- Keywords: Time series, ARMA, ARIMA, forecasting.
|
| |
|
|
|
