The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series
From MaRDI portal
Publication:2495838
DOI10.1016/j.jspi.2004.10.026zbMath1332.62302MaRDI 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 autocorrelation; ARIMA model; autocorrelation coefficients; nonlinearity test; heteroscedasticity model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H20: Measures of association (correlation, canonical correlation, etc.)
62M07: Non-Markovian processes: hypothesis testing
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