Constrained-realization Monte-Carlo method for hypothesis testing

DOI10.1016/0167-2789(96)00050-4zbMath0888.62087arXivcomp-gas/9603001WikidataQ126458671 ScholiaQ126458671MaRDI QIDQ1917975

James Theiler, Dean Prichard

Publication date: 4 August 1996

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/comp-gas/9603001

zbMATH Keywords

autoregressive moving average; pivotal statistics; test for deviations from Gaussian distributions; test for serial dependence

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Uses Software

• bootstrap

Cites Work

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