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Activity Number:
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407
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #308196 |
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Title:
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On Diagnostic Checking for Mixture Autoregressive Time Series
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Author(s):
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Qin Shao*+
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Companies:
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University of Toledo
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Address:
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Math Dept, Toledo, OH, 43606,
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Keywords:
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BIC ; Empirical cumulative distribution function ; Parametric bootstrap ; Quantile-quantile plot
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Abstract:
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A diagnostic checking procedure is proposed for mixture autoregressive time series models. The asymptotic property is derived for the empirical cumulative distribution function of the residuals and is used to construct the quantile-quantile plot. The performance of this procedure is studied by simulation. The application is illustrated by two real time series datasets.
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