TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS

DOI10.1017/S0266466610000253zbMath1210.62125arXiv0906.5179MaRDI QIDQ3168873

Xiao-Feng Shao

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (23)

On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method ⋮ A white noise test under weak conditions ⋮ Large sample behaviour of high dimensional autocovariance matrices ⋮ Quantile spectral processes: asymptotic analysis and inference ⋮ White noise testing and model diagnostic checking for functional time series ⋮ White noise testing for functional time series ⋮ Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series ⋮ ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT ⋮ Testing the martingale difference hypothesis in high dimension ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ Optimal estimating function for weak location‐scale dynamic models ⋮ Robust inference on correlation under general heterogeneity ⋮ A Simple Test for White Noise in Functional Time Series ⋮ An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence ⋮ An Updated Literature Review of Distance Correlation and Its Applications to Time Series ⋮ Robust adaptive rate-optimal testing for the white noise hypothesis ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations ⋮ Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application ⋮ SEMIPARAMETRIC INDEPENDENCE TESTING FOR TIME SERIES OF COUNTS AND THE ROLE OF THE SUPPORT ⋮ A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach ⋮ Asymptotic for LS estimators in the EV regression model for dependent errors

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