Robust Portmanteau TRA Tests and Their Limit Distribution
DOI10.1081/STA-120037449zbMATH Open1213.62136OpenAlexW2074862996MaRDI QIDQ3155367FDOQ3155367
Soledad Torres, Héctor Allende, Nancy Lacourly
Publication date: 14 January 2005
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sta-120037449
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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- On a measure of lack of fit in time series models
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- Performance of Robust RA Estimator for Bidimensional Autoregressive Models
- RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
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- On estimation and testing goodness of fit for \(m\)-dependent stable sequences
- On inconsistent M-estimators
- A goodness-of-fit test in robust time series modelling
Cited In (1)
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