scientific article; zbMATH DE number 4013810

MaRDI QIDQ3026097zbMATH OpenFDO

Authors Jean-Marie Dufour, Roch Roy

Publication date 1986

zbMATH Keywords

Box-Pierce and Ljung-Box statisticschi-square asymptotic distributioncovariancesexact second momentsexact upper limits on critical valuesexchangeabilityGaussian white noiseGaussian, independent, modelmeanportmanteau statisticrank autocorrelationsample autocorrelationssignificance levelsimulationsspherically symmetric distributionstests of randomnesstime-seriesvariances

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Parametric hypothesis testing (62F03) Order statistics; empirical distribution functions (62G30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Sur un test d'égalité des autocovariances de deux séries chronologiques
• Publication:3034624
• Partial and inverse autocorrelations in portmanteau-type tests for time series
• scientific article; zbMATH DE number 166505
• Joint asymptotic distributions of sample autocorrelations for time series of martingale differ\-ences
• scientific article; zbMATH DE number 3982352
• scientific article; zbMATH DE number 3982350
• A comparison of some estimators of time series autocorrelations

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3026097)