Portmanteau tests for ARMA models with infinite variance

DOI10.1111/j.1467-9892.2007.00572.xzbMath1199.62012arXiv1611.01360MaRDI QIDQ3552840

Jen-Wen Lin, A. Ian McLeod

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.01360

zbMATH Keywords

stable Paretian distribution; testing for randomness; diagnostic checks; residual autocorrelation function

Mathematics Subject Classification ID

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

62J20: Diagnostics, and linear inference and regression

Related Items

Ian McLeod’s Contribution to Time Series Analysis—A Tribute, MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES, A Portmanteau Test for ARMA Processes with Infinite Variance, Empirical processes for infinite variance autoregressive models, On model Fitting and estimation of strictly stationary processes, Trimmed portmanteau test for linear processes with infinite variance, M-estimation for general ARMA Processes with Infinite Variance, Improved multivariate portmanteau test

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