The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series

DOI10.1016/j.jspi.2004.10.026zbMath1332.62302MaRDI QIDQ2495838

Daniel Peña, Julio Rodríguez

Publication date: 30 June 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.10.026

zbMATH Keywords

partial autocorrelation; ARIMA model; autocorrelation coefficients; nonlinearity test; heteroscedasticity model

Mathematics Subject Classification ID

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

62H20: Measures of association (correlation, canonical correlation, etc.)

62M07: Non-Markovian processes: hypothesis testing

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