Residual Diagnostic Plots for Checking for Model Mis-Specification in Time Series Regression
Fraccaro, Richard
Hyndman, Rob J.
Veevers, Alan
10.4225/03/5934b61897e48
https://monash.figshare.com/articles/Residual_Diagnostic_Plots_for_Checking_for_Model_Mis-Specification_in_Time_Series_Regression/5072425
This paper considers residuals for time series regression. Despite much literature on visual diagnostics for uncorrected data, there is little on the autocorrelated case. In order to examine various aspects of the fitted time series regression model, three residuals are considered. The fitted regression model can be checked using orthogonal residuals; the time series error model can be analysed using marginal residuals; and the white noise error component can be tested using conditional residuals. When used together, these residuals allow identification of outliers, model mis-specification and mean shifts. Due to the sensitivity of conditional residuals to model mis-specification, it is suggested that the orthogonal and marginal residuals be examined first.
2017-06-05 01:38:31
Generalised least squares
Model transformation
Time series regression
Residual diagnostics
Conditional residuals
1959.1/36117
Residual plots
Orthogonal residuals
Model mis-specification
Autocorrelation
Mean shifts
monash:6946
Marginal residuals
1998