TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS

DOI10.1017/S0266466610000253zbMath1210.62125arXiv0906.5179MaRDI QIDQ3168873

Xiao-Feng Shao

Publication date: 27 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.5179

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

62M07: Non-Markovian processes: hypothesis testing

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