Abstract Details
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Activity Number:
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235
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Type:
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Contributed
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Date/Time:
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Monday, August 4, 2014 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #312519
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View Presentation
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Title:
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A New Goodness-of-Fit Process for VARMA(P,Q) Models
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Author(s):
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Santiago Velilla*+ and Huong Nguyen
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Companies:
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Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
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Keywords:
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Brownian Bridge ;
Correlation Matrix ;
Covariance function ;
Model Selection
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Abstract:
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As an extension of the univariate technique in Ubierna and Velilla (2007), we present a goodness-of-fit process for VARMA(p,q) models in which the residuals of the fit are considered. We also formulate an explicit form of the asymptotic covariance function, as well as a suitable representation of the limit process. More importantly, we propose a new goodness-of-fit process based on a transformed correlation matrix sequence. The new goodness-of-fit process is proved to converge weakly to the Brownian bridge. Several simulations, comparisons, and examples are presented.
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Authors who are presenting talks have a * after their name.
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