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Recent Results for Linear Time Series Models with Non Independent Innovations

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Book cover Statistical Modeling and Analysis for Complex Data Problems

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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Authors
  1. Christian Francq
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  2. Jean-Michel Zakoïan
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Editor information

Editors and Affiliations

  1. Université de Montréal and GERAD, Montréal

    Pierre Duchesne

  2. HEC Montréal and GERAD, Montréal

    Bruno RÉMillard

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Francq, C., Zakoïan, JM. (2005). Recent Results for Linear Time Series Models with Non Independent Innovations. In: Duchesne, P., RÉMillard, B. (eds) Statistical Modeling and Analysis for Complex Data Problems. Springer, Boston, MA. https://doi.org/10.1007/0-387-24555-3_12

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