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Diagnostic Checks in Time Series.

Publication: Journal of the American Statistical Association
Publication Date: 01-SEP-05 		Format: Online - approximately 782 words
Delivery: Immediate Online Access
Full Article Title: Diagnostic Checks in Time Series.(book by Wai Keung Li )(Book Review)

Article Excerpt
Diagnostic Checks in Time Series.

Wai Keung LI. Boca Raton, FL: Chapman & Hall/CRC, 2004. ISBN 1-58488-337-5. xii + 196 pp. $69.95.

Given observations from a time series, how does one go about fitting a model out of a potential class of models? Most introductory time series books and courses look to the iterative three-stage procedure generally attributed to Box and Jenkins (1970): preliminary model identification, estimation of model parameters, and diagnostic checking. This monograph seems to be unique among time series books in that its focus is almost entirely on the third stage of this procedure. Parameter estimation is considered only where needed to describe the diagnostic testing procedures, and the reader is referred to...

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