Trimmed portmanteau test for linear processes with infinite variance

DOI10.1016/j.jmva.2009.09.016zbMath1181.62138MaRDI QIDQ2267596

Sangyeol Lee, Chi Tim Ng

Publication date: 1 March 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.09.016

zbMATH Keywords

asymptotic distribution; diagnostic test; portmanteau test; linear process with infinite variance; model check test; trimming method

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M07: Non-Markovian processes: hypothesis testing

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