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Título:
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Diagnostic checking using subspace methods
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Autores:
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García Hiernaux, Alfredo
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Tipo de documento:
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texto impreso
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Editorial:
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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2009-02
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = No publicado
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Materia = Ciencias Sociales: Economía: Finanzas
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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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En línea:
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https://eprints.ucm.es/id/eprint/8589/1/0903.pdf
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