Diagnostic Checks in Time Series

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Wai Keung Li (University of Hong Kong) N. Reid (University of Toronto, Ontario, Canada)

Diagnostic Checks in Time Series

Wai Keung Li (University of Hong Kong), N. Reid (University of Toronto, Ontario, Canada), Valerie Isham , R.J. Tibshirani (Stanford university Stanford University Stanford University, California, USA Stanford University, California, USA)

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English

Chapman & Hall/CRC
29 December 2003

Probability & statistics; Mathematical modelling

Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability

Diagnostic checking is an important step in the

modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks.

Diagnostic Checks in Time Series helps to fill that gap.

Author Wai Keung Li--one of the world's top authorities in time series modeling--concentrates on diagnostic checks for stationary time series and covers a range of different linear and nonlinear models, from various ARMA, threshold type, and bilinear models to conditional non-Gaussian and autoregressive heteroscedasticity (ARCH) models. Because of its broad

applicability, the portmanteau goodness-of-fit test receives particular attention, as does the score test. Unlike most treatments, the author's approach is a practical one, and he

looks at each topic through the eyes of a model builder rather than a mathematical statistician. This book brings together the widely scattered literature on the subject, and with

clear explanations and focus on applications, it guides readers through the final stages of their modeling efforts. With Diagnostic Checks in Time Series, you will

understand the relative merits of the models discussed, know how to estimate these models, and often find ways to improve a model.

By: Wai Keung Li (University of Hong Kong)
Series edited by: N. Reid (University of Toronto Ontario Canada), Valerie Isham, R.J. Tibshirani (Stanford university Stanford University Stanford University, California, USA Stanford University, California, USA), Thomas A. Louis (Johns Hopkins Bloomberg School of Public Health, MD, USA Johns Hopkins Bloomberg School of Public Health, Baltimore, Johns Hopkins Bloomberg, Baltimore, Maryland, USA)
Imprint: Chapman & Hall/CRC
Country of Publication: United States
Volume: 102
Dimensions: Height: 229mm, Width: 152mm, Spine: 17mm
Weight: 408g
ISBN: 9781584883371
ISBN 10: 1584883375
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability
Pages: 210
Publication Date: 29 December 2003
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Li, Wai Keung

Reviews for Diagnostic Checks in Time Series

There are many books on time series analysis but this is the first monograph specialized to diagnostic checking. ... The author is a known specialist in time series modelling. His approach is a practical one and each topic is presented from a model builder's point of view. ... [V]ery useful for statisticians working in time series analysis. - EMS Newsletter [T]he author has adopted an easy-to-follow style which takes the reader to the frontier of the literature painlessly. - Journal of the Royal Statistical Society There have been several excellent monographs on the diagnostics of linear models, but this is the first and possibly definitive one for stationary time series modeling. It is of great value in bringing together the diverse literature on the topic, over three hundred references are given, and integrating them into a coherent whole...Whatever type of time series model you are fitting, linear or nonlinear, volatile or not, turn to this monograph for help in testing its goodness-of-fit. - ISI Short Book Reviews