scientific article; zbMATH DE number 3881727

MaRDI QIDQ3347146zbMATH OpenFDO

Authors D. S. Poskitt, A. R. Tremayne

Publication date 1984

zbMATH Keywords

admissible alternativesARMAX systemsautoregressive moving averageidentifiabilityLagrangian multiplier principlelinear time series modelsmisspecification testsmultivariate ARMA models with exogenous variablesnon- specific diagnostic checkscore testssensitivity matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(3)

• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• Extimation and structure determination of multivariate input systems

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