Partial sums of lagged cross-products of AR residuals and a test for white noise

DOI10.1007/s11749-007-0058-6zbMath1367.62252OpenAlexW2059522231MaRDI QIDQ1019485

Jan G. De Gooijer

Publication date: 2 June 2009

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-007-0058-6

zbMATH Keywords

time seriesBrownian motionpartial sumsportmanteau diagnostic checknoncentral chi-square

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05)

Cites Work

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