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Univariate Tests for Time Series Models

Univariate Tests for Time Series Models

December 1993 | 104 pages | SAGE Publications, Inc
Taking a sequential approach to time-series model building, this book explores how to test for stationarity, normality, independence, linearity, model order, and properties of the residual process. The authors clearly define each testing procedure and offer examples to illustrate each concept. The authors also provide advice on how to perform the tests using different software packages. "This provides a nice roadmap for those doing time series analysis, and the authors should be applauded for this... Their approach is straightforward and logical and I believe will be useful many practicing statisticians." --Technometrics

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Testing for Stationarity
Testing for Normality
Testing for Independence
Testing for Linear or Nonlinear Dependence
Linear Model Specification
Nonlinear Model Specification
Testing for Model Order
Testing for Residual Process
Computational Methods for Performing the Tests

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ISBN: 9780803949911

This title is also available on SAGE Research Methods, the ultimate digital methods library. If your library doesn’t have access, ask your librarian to start a trial.