An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking

DOI10.1198/JASA.2011.TM10226zbMATH Open1229.62117OpenAlexW1967233588MaRDI QIDQ3111187FDOQ3111187

Authors: Carlos I. Hoyos Velasco, Miguel Delgado 

Publication date: 18 January 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/15032

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zbMATH Keywords

local alternativeslong memoryrecursive residualshigher-order serial dependencenonlinear in variables models

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Cited In (13)

• Robust adaptive rate-optimal testing for the white noise hypothesis
• A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES
• ARMA model checking with data-driven portmanteau tests
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors
• Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
• Extremal Dependence-Based Specification Testing of Time Series
• A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
• A general approach to conditional moment specification testing with projections
• Testing discrete-valued time series for whiteness
• A bootstrapped spectral test for adequacy in weak ARMA models
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
• Tests for \(m\)-dependence based on sample splitting methods

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