Phone: +1 (888) 4279486
+1 (312) 2573777
Contact Us
TSM_RESID
Returns an array of the standardized residuals for the fitted mixedmodel.
Syntax
Y
is the response variable univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
X
is the exogenous factors time series data (a two dimensional array of cells (i.e. rows and columns)).
Order
is the time order of the data series (i.e. whether the first data point corresponds to the earliest or latest date (earliest date=1 (default), latest date=0)).
Order  Description 

1  ascending (the first data point corresponds to the earliest date) 
0  descending (the first data point corresponds to the latest date) 
Model
is the model representation array (a one dimensional array of cells (e.g. rows or columns)) (see ARMA^{i}, GARCH^{i}, EGARCH^{i}, GARCHM, etc. functions).
Remarks
 The time series is homogeneous or equally spaced.
 The time series may include missing values (e.g. #N/A) at either end.
 The standardized residuals have a mean of zero and a variance of one (1).

The mixed model's standardized residuals is defined as:
Where:
 is the mixed model's standardized residual at time t.
 is the mixed model's residual at time t.
 is the value of the time series at time t.
 is the conditional mean at time t.
 is the conditional volatility at time t.
Files Examples
References
 Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0691042896
 Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0471690740