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Residual Types in Time Series and Their Applications

Year 2012, Volume: 25 Issue: 2, 409 - 416, 16.04.2012

Mehmet Güray Ünsal , Reşat Kasap

Abstract

Residual types in time series has not been investigated throughly in literature. This study aims to provide practical applications of residual types. In this study, firstly, basic information about different types of residuals was given and some features of the residuals were investigated with numerical applications. Then a simulation study was conducted to show differences in decisions when different residual types were considered in diagnostic checking.

Keywords

Time Series Analysis Residual Types Diagnostic Checking

References

  • Ansley, C.F., Newbold, P., On the finite sample distribution of residual autocorrelations in autoregressive moving average models. Biometrika, 66:547-553 (1979).
  • Akdi, Y., , Time Series Analysis (Unit Roots and Cointegration), Bıçaklar Bookstore, Ankara, 1-18 (2003).
  • Arranz, M.A., Portmanteau Test Statistics in Time Series: Time-Oriented Language, 25-32 (2005) .
  • Battaglia, F., “Approximate power of portmanteau tests for time series”, Statistics and Probability Letters, 9: 341 (1990).
  • Box, G.E.P., Jenkins, G.M and Reinsel, G.C., Time Series analysis: Forecasting and a Control , Prentice Hall: New Jersey, 7-88, 224-307 (1994).
  • Brockwell, P.J., Davis, R.A., Introduction to Time Series and Forecasting. Sec ond ed. Springer, NewYork (2002).
  • Davies, N., Triggs, C. M. And :Newbold, P., “Significance levels of the Box-Pierce “Portmanteau statistic in finite samples”, Biometrika, 64: 517-522 (1977).
  • Kasap, R., An analysis of the Istanbul Stock Exchange (ISE) national-100 index: a statistical approach. ISE Review, 6:27-33 (1998).
  • Ljung, G.M. and Box, G.E.P., On a measure of lack of fit in time series models. Biometrika, 65: 297-303 (1978).
  • Mauricio, J.A., Computing and Using Residuals in Time Series Models, Computational Statistics & Data Analysis, 52, 3:1746 – 1763 (2008).
  • Unsal, M.G., Kasap, R., Analysis Of The Matrices Used For Computing Of Residuals Types For ARMA(1,1) Model, 19. Statistics Research Symposium, TÜİK, Ankara (2010).
  • Wei, W.W.S., Time Series Analysis: Univariate and Multivariate Methods, Addison-Wesley Publishing Company, Inc.: UK, 32-64, 135-156 (1990).

Year 2012, Volume: 25 Issue: 2, 409 - 416, 16.04.2012

Mehmet Güray Ünsal , Reşat Kasap

Abstract

References

  • Ansley, C.F., Newbold, P., On the finite sample distribution of residual autocorrelations in autoregressive moving average models. Biometrika, 66:547-553 (1979).
  • Akdi, Y., , Time Series Analysis (Unit Roots and Cointegration), Bıçaklar Bookstore, Ankara, 1-18 (2003).
  • Arranz, M.A., Portmanteau Test Statistics in Time Series: Time-Oriented Language, 25-32 (2005) .
  • Battaglia, F., “Approximate power of portmanteau tests for time series”, Statistics and Probability Letters, 9: 341 (1990).
  • Box, G.E.P., Jenkins, G.M and Reinsel, G.C., Time Series analysis: Forecasting and a Control , Prentice Hall: New Jersey, 7-88, 224-307 (1994).
  • Brockwell, P.J., Davis, R.A., Introduction to Time Series and Forecasting. Sec ond ed. Springer, NewYork (2002).
  • Davies, N., Triggs, C. M. And :Newbold, P., “Significance levels of the Box-Pierce “Portmanteau statistic in finite samples”, Biometrika, 64: 517-522 (1977).
  • Kasap, R., An analysis of the Istanbul Stock Exchange (ISE) national-100 index: a statistical approach. ISE Review, 6:27-33 (1998).
  • Ljung, G.M. and Box, G.E.P., On a measure of lack of fit in time series models. Biometrika, 65: 297-303 (1978).
  • Mauricio, J.A., Computing and Using Residuals in Time Series Models, Computational Statistics & Data Analysis, 52, 3:1746 – 1763 (2008).
  • Unsal, M.G., Kasap, R., Analysis Of The Matrices Used For Computing Of Residuals Types For ARMA(1,1) Model, 19. Statistics Research Symposium, TÜİK, Ankara (2010).
  • Wei, W.W.S., Time Series Analysis: Univariate and Multivariate Methods, Addison-Wesley Publishing Company, Inc.: UK, 32-64, 135-156 (1990).
There are 12 citations in total.

Details

Primary Language English
Subjects Engineering
Journal Section Statistics
Authors

Mehmet Güray Ünsal

Reşat Kasap

Publication Date April 16, 2012
Published in Issue Year 2012 Volume: 25 Issue: 2

Cite

APA Ünsal, M. G., & Kasap, R. (2012). Residual Types in Time Series and Their Applications. Gazi University Journal of Science, 25(2), 409-416.
AMA Ünsal MG, Kasap R. Residual Types in Time Series and Their Applications. Gazi University Journal of Science. April 2012;25(2):409-416.
Chicago Ünsal, Mehmet Güray, and Reşat Kasap. “Residual Types in Time Series and Their Applications”. Gazi University Journal of Science 25, no. 2 (April 2012): 409-16.
EndNote Ünsal MG, Kasap R (April 1, 2012) Residual Types in Time Series and Their Applications. Gazi University Journal of Science 25 2 409–416.
IEEE M. G. Ünsal and R. Kasap, “Residual Types in Time Series and Their Applications”, Gazi University Journal of Science, vol. 25, no. 2, pp. 409–416, 2012.
ISNAD Ünsal, Mehmet Güray - Kasap, Reşat. “Residual Types in Time Series and Their Applications”. Gazi University Journal of Science 25/2 (April 2012), 409-416.
JAMA Ünsal MG, Kasap R. Residual Types in Time Series and Their Applications. Gazi University Journal of Science. 2012;25:409–416.
MLA Ünsal, Mehmet Güray and Reşat Kasap. “Residual Types in Time Series and Their Applications”. Gazi University Journal of Science, vol. 25, no. 2, 2012, pp. 409-16.
Vancouver Ünsal MG, Kasap R. Residual Types in Time Series and Their Applications. Gazi University Journal of Science. 2012;25(2):409-16.