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

Risultato della ricerca: Contributo in libro › Chapter

9 Citazioni (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.

Lingua originale	English
Titolo della pubblicazione ospite	Challenges at the Interface of Data Analysis, Computer Science and Optimization. Studies in Classification, Data Analysis, and Knowledge Organization
Editor	Wolfgang Gaul, Andreas Geyer-Shulz, Lars Schmidt-Thieme, Jonas Kunze
Pagine	203-211
Numero di pagine	9
DOI	https://doi.org/10.1007/978-3-642-24466-7_21
Stato di pubblicazione	Pubblicato - 2012

Keywords

Model validation
Nonlinear time series

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

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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 (Edd.), Challenges at the Interface of Data Analysis, Computer Science and Optimization. Studies in Classification, Data Analysis, and Knowledge Organization (pagg. 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. a cura di / Wolfgang Gaul; Andreas Geyer-Shulz; Lars Schmidt-Thieme; Jonas Kunze. 2012. pag. 203-211.

Risultato della ricerca: Contributo in libro › Chapter

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AU - Punzo, Antonio

PY - 2012

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

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Checking Serial Independence of Residuals from a Nonlinear Model

Abstract

Keywords

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