An extended portmanteau test for VARMA models with mixing nonlinear constraints (Q3552848)
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scientific article; zbMATH DE number 5697507
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| English | An extended portmanteau test for VARMA models with mixing nonlinear constraints |
scientific article; zbMATH DE number 5697507 |
Statements
An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints (English)
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22 April 2010
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multivariate time series
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state space
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dynamic factor analysis
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Pena-Box model
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factor-structural vector autoregression
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goodness of fit
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0.8505746126174927
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0.8404694199562073
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0.8282482028007507
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0.8173007369041443
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0.8131633996963501
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