Improved multivariate portmanteau test (Q2930880): Difference between revisions

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+W3125327113
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+.00442
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+Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification
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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+Q3511004
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+Time series: theory and methods.
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+Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
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+Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
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+On robust testing for conditional heteroscedasticity in time series models
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+Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
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+On testing for multivariate ARCH effects in vector time series models
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+Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
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+Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
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+The Multivariate Portmanteau Statistic
@@ Property / cites work: The Multivariate Portmanteau Statistic / rank @@
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+Q3928869
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+Q3925035
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+Computing the distribution of quadratic forms in normal variables
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+Q4821817
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+Improved Peňa-Rodriguez portmanteau test
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+Portmanteau tests for ARMA models with infinite variance
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+Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
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+On a measure of lack of fit in time series models
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+Improved Box-Jenkins Estimators
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+Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
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+DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
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+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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+Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
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+A Powerful Portmanteau Test of Lack of Fit for Time Series
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+The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series
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+Diagnostic tests for multiple time series models
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+MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
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+Q5312871
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+Analysis of Financial Time Series
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+ARMA MODELS WITH ARCH ERRORS
@@ Property / cites work: ARMA MODELS WITH ARCH ERRORS / rank @@
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