Recent results for linear time series models with non independent innovations

Christian Francq; Jean Michel Zakoïan

doi:10.1007/0-387-24555-3_12

Recent results for linear time series models with non independent innovations

Université de Lille

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

In this paper, we provide a review of some recent results for ARMA models with uncorrelated but non independent errors. The standard so-called Box-Jenkins methodology rests on the errors independence. When the errors are suspected to be non independent, which is often the case in real situations, this methodology needs to be adapted. We study in detail the main steps of this methodology in the above-mentioned framework.

Original language	English
Title of host publication	Statistical Modeling and Analysis for Complex Data Problems
Publisher	Springer US
Pages	241-265
Number of pages	25
ISBN (Print)	0387245545, 9780387245546
DOIs	https://doi.org/10.1007/0-387-24555-3_12
Publication status	Published - 1 Dec 2005
Externally published	Yes

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10.1007/0-387-24555-3_12

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title = "Recent results for linear time series models with non independent innovations",

abstract = "In this paper, we provide a review of some recent results for ARMA models with uncorrelated but non independent errors. The standard so-called Box-Jenkins methodology rests on the errors independence. When the errors are suspected to be non independent, which is often the case in real situations, this methodology needs to be adapted. We study in detail the main steps of this methodology in the above-mentioned framework.",

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AB - In this paper, we provide a review of some recent results for ARMA models with uncorrelated but non independent errors. The standard so-called Box-Jenkins methodology rests on the errors independence. When the errors are suspected to be non independent, which is often the case in real situations, this methodology needs to be adapted. We study in detail the main steps of this methodology in the above-mentioned framework.

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M3 - Chapter

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SP - 241

EP - 265

BT - Statistical Modeling and Analysis for Complex Data Problems

PB - Springer US

ER -

Recent results for linear time series models with non independent innovations

Abstract

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