On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and \2\-inverses

MaRDI QIDQ3535260zbMATH OpenFDO

Authors P. Duchesne, C. Francq

Publication date 10 November 2008

zbMATH Keywords

conditional heteroscedasticitydiagnostic checkinggeneralized inversesresidual autocorrelations

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Diagnostic testing of univariate time series models
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Cited in

(12)

• Sum of squared ACF and the Ljung-Box statistics
• Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models
• Consistent model selection criteria and goodness-of-fit test for common time series models
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
• The multiple testing problem for Box-Pierce statistics
• Testing for residual correlation of any order in the autoregressive process
• Partial and inverse autocorrelations in portmanteau-type tests for time series
• Generalized portmanteau tests based on subspace methods
• Generalized Gaussian quasi-maximum likelihood estimation for most common time series
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• Portmanteau tests for semiparametric nonlinear conditionally heteroscedastic time series models
• Computing the distribution of quadratic forms: further comparisons between the Liu-Tang-Zhang approximation and exact methods

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