Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations (Q111926): Difference between revisions

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+March 2019Timestamp +2019-03-20T00:00:00Z
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++2019-03-20T00:00:00Z
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@@ Property / publication date: 20 March 2019 / rank @@
+Normal rank
@@ Property / author @@
+Yacouba Boubacar Maïnassara
@@ Property / author: Yacouba Boubacar Maïnassara / rank @@
+Normal rank
@@ Property / author @@
+Bruno Saussereau
@@ Property / author: Bruno Saussereau / rank @@
+Normal rank
@@ Property / title @@
+Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations (English)
+Normal rank
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+.62169
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+H12
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+H15
@@ Property / Mathematics Subject Classification ID: 62H15 / rank @@
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+J20
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+7038737
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+Box-Pierce and Ljung-Box portmanteau tests
@@ Property / zbMATH Keywords: Box-Pierce and Ljung-Box portmanteau tests / rank @@
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@@ Property / zbMATH Keywords @@
+goodness-of-fit test
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@@ Property / zbMATH Keywords @@
+quasi-maximum likelihood estimation
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@@ Property / zbMATH Keywords @@
+self-normalization
@@ Property / zbMATH Keywords: self-normalization / rank @@
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@@ Property / zbMATH Keywords @@
+weak (V)ARMA models
@@ Property / zbMATH Keywords: weak (V)ARMA models / rank @@
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@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+https://doi.org/10.1080/01621459.2017.1380030
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@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Consistent autoregressive spectral estimates
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+Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
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+Estimating structural VARMA models with uncorrelated but non-independent error terms
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+Publication:111926