TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
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Publication:3168873
DOI10.1017/S0266466610000253zbMath1210.62125arXiv0906.5179MaRDI QIDQ3168873
Publication date: 27 April 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.5179
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
62M07: Non-Markovian processes: hypothesis testing
Related Items
Large sample behaviour of high dimensional autocovariance matrices, Quantile spectral processes: asymptotic analysis and inference, A bootstrapped spectral test for adequacy in weak ARMA models, Robust adaptive rate-optimal testing for the white noise hypothesis, White noise testing and model diagnostic checking for functional time series, A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach, ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
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