Checking Serial Independence of Residuals from a Nonlinear Model

Luca Bagnato; Antonio Punzo

doi:10.1007/978-3-642-24466-7_21

Checking Serial Independence of Residuals from a Nonlinear Model

Luca Bagnato, Antonio Punzo

University of Catania

Research output: Chapter in Book/Report/Conference proceeding › Chapter

9 Citations (Scopus)

Abstract

In this paper the serial independence tests known as SIS (Serial Independence Simultaneous) and SICS (Serial Independence Chi-Square) are considered. These tests are here contextualized in the model validation phase for nonlinear models in which the underlying assumption of serial independence is tested on the estimated residuals. Simulations are used to explore the performance of the tests, in terms of size and power, once a linear/nonlinear model is fitted on the raw data. Results underline that both the tests are powerful against various types of alternatives.

Original language	English
Title of host publication	Challenges at the Interface of Data Analysis, Computer Science and Optimization. Studies in Classification, Data Analysis, and Knowledge Organization
Editors	Wolfgang Gaul, Andreas Geyer-Shulz, Lars Schmidt-Thieme, Jonas Kunze
Pages	203-211
Number of pages	9
DOIs	https://doi.org/10.1007/978-3-642-24466-7_21
Publication status	Published - 2012

Keywords

Model validation
Nonlinear time series

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10.1007/978-3-642-24466-7_21

Cite this

Bagnato, L., & Punzo, A. (2012). Checking Serial Independence of Residuals from a Nonlinear Model. In W. Gaul, A. Geyer-Shulz, L. Schmidt-Thieme, & J. Kunze (Eds.), Challenges at the Interface of Data Analysis, Computer Science and Optimization. Studies in Classification, Data Analysis, and Knowledge Organization (pp. 203-211) https://doi.org/10.1007/978-3-642-24466-7_21

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Checking Serial Independence of Residuals from a Nonlinear Model. / Bagnato, Luca; Punzo, Antonio.
Challenges at the Interface of Data Analysis, Computer Science and Optimization. Studies in Classification, Data Analysis, and Knowledge Organization. ed. / Wolfgang Gaul; Andreas Geyer-Shulz; Lars Schmidt-Thieme; Jonas Kunze. 2012. p. 203-211.

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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AU - Punzo, Antonio

PY - 2012

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KW - Model validation

KW - Nonlinear time series

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DO - 10.1007/978-3-642-24466-7_21

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SP - 203

EP - 211

BT - Challenges at the Interface of Data Analysis, Computer Science and Optimization. Studies in Classification, Data Analysis, and Knowledge Organization

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A2 - Kunze, Jonas

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Checking Serial Independence of Residuals from a Nonlinear Model

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Keywords

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