A new test for ARMA models with errors following a general white noise process
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Publication:1919727
DOI10.1007/BF02562688zbMath0852.62083OpenAlexW2018021606MaRDI QIDQ1919727
Publication date: 11 November 1996
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02562688
consistencyasymptotic separationARMA modelsARMA-GTARCH modelsconditionally heteroscedastic white noise
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- Linear serial rank tests for randomness against ARMA alternatives
- An approach to testing linear time series models
- Stationarity of GARCH processes and of some nonnegative time series
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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