The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series
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Publication:2495838
DOI10.1016/j.jspi.2004.10.026zbMath1332.62302OpenAlexW2051360971MaRDI QIDQ2495838
Publication date: 30 June 2006
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2004.10.026
partial autocorrelationARIMA modelautocorrelation coefficientsnonlinearity testheteroscedasticity model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: hypothesis testing (62M07)
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