ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
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Publication:2937714
DOI10.1111/jtsa.12093zbMath1308.62163MaRDI QIDQ2937714
Thomas J. Fisher, Colin M. Gallagher
Publication date: 12 January 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12093
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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Some weighted mixed portmanteau tests for diagnostic checking in linear time series models, Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models, Portmanteau tests based on quadratic forms in the autocorrelations, Kernel-based portmanteau diagnostic test for ARMA time series models, Testing for correlation between two time series using a parametric bootstrap, A goodness-of-fit test for VARMA\((p, q)\) models, Data-driven portmanteau tests for time series
Uses Software
Cites Work
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