PORTMANTEAU AUTOCORRELATION TESTS UNDER Q -DEPENDENCE AND HETEROSKEDASTICITY
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Publication:2936570
DOI10.1111/jtsa.12059zbMath1302.62186OpenAlexW3125177521MaRDI QIDQ2936570
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Publication date: 17 December 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12059
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)
Related Items (3)
ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Data-driven portmanteau tests for time series
Cites Work
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- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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