Improved multivariate portmanteau test (Q2930880)

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Language	Label	Description	Also known as
English	Improved multivariate portmanteau test	scientific article

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scholarly article

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Improved multivariate portmanteau test (English)

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Journal of Time Series Analysis

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publication date

20 November 2014

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full work available at URL

https://arxiv.org/abs/1611.00442

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zbMATH Keywords

diagnostic checking

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multivariate time series

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parallel computing

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Monte Carlo significance test

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residual autocorrelation function

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VARMA models

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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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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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

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Computing the distribution of quadratic forms in normal variables

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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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Analysis of Financial Time Series

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ARMA MODELS WITH ARCH ERRORS

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Identifiers

zbMATH Open document ID

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10.1111/j.1467-9892.2011.00752.x

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2930880

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