Distribution of Multivariate White Noise Autocorrelations

DOI10.2307/2285773MaRDI QIDQ4107358zbMATH OpenOpenAlexFDO

Authors Ratnam V. Chitturi

Publication date 1976

Full work available at URL https://doi.org/10.2307/2285773

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cited in

(16)

• On testing for multivariate ARCH effects in vector time series models
• White noise testing for functional time series
• ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
• Asymptotically most powerful rank tests for multivariate randomness against serial dependence
• A new diagnostic tool for VARMA\((p,q)\) models
• A goodness-of-fit test for VARMA\((p, q)\) models
• Generalized covariance-based inference for models set-identified from independence restrictions
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
• A randomness test for functional panels
• Generalized Covariance Estimator
• On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
• A test for the presence of pure feedback in multivariate dynamic stochastic systems
• Tests for noncorrelation of two multivariate ARMA time series
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• On consistent testing for serial correlation of unknown form in vector time series models.
• Test of independence for functional data

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