Diagnostic checking in linear processes with infinite variance
From MaRDI portal
Recommendations
- Diagnostic tests for non-causal time series with infinite variance
- Diagnostic Checking in a Flexible Nonlinear Time Series Model
- Diagnostic checking of Markov multiplicative error models
- Parameter estimation and diagnostic tests for INMA(1) processes
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Diagnostic checking for conditional heteroscedasticity models
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
- On multiple diagnostic procedures for the linear model
- Variance diagnostics for classical and Bayesian linear regression
Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- Modeling asset returns with alternative stable distributions*
- The asymptotic null distribution of the Box-Pierce Q-statistic for random variables with infinite variance. An application to German stock returns
- Time series: theory and methods.
Cited in
(3)
This page was built for publication: Diagnostic checking in linear processes with infinite variance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1600532)
