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Univariate Tests for Time Series Models
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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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Introduction
 
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
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