An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints

DOI10.1111/j.1467-9892.2008.00573.xzbMath1198.62085OpenAlexW2146462360MaRDI QIDQ3552848

Ignacio Arbués

Publication date: 22 April 2010

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00573.x

zbMATH Keywords

state spacemultivariate time seriesgoodness of fitdynamic factor analysisfactor-structural vector autoregressionPena-Box model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model ⋮ Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms ⋮ On the reduced-rank model with leading index ⋮ Departure from normality of increasing-dimension martingales

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