A comparative study of the finite-sample distribution of some portmanteau tests for univariate time series models

DOI10.1080/03610919608813348MaRDI QIDQ3125813zbMATHOpenAlexFDO

Authors Andy C. C. Kwan, Yangru Wu

Publication date 20 May 1997

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919608813348

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cited in

(1)

• Partial and inverse autocorrelations in portmanteau-type tests for time series

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