A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION (Q4012948)
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scientific article; zbMATH DE number 63504
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| English | A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION |
scientific article; zbMATH DE number 63504 |
Statements
A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION (English)
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27 September 1992
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diagnostic checks
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discrete-time random process
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time series
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martingale difference
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martingale criterion
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white noise criterion
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fitted residuals for signs of model inadequacy
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cumulant functions
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mixing condition
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increment process
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modified sample bispectrum
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two-dimensional portmanteau test of serial dependence
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large-sample results
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financial series
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0.8000891208648682
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0.8000891208648682
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0.7936350107192993
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0.7878417372703552
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0.7757167220115662
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