An extended portmanteau test for VARMA models with mixing nonlinear constraints
DOI10.1111/J.1467-9892.2008.00573.XzbMATH Open1198.62085OpenAlexW2146462360MaRDI QIDQ3552848FDOQ3552848
Authors: 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
Recommendations
- Multivariate portmanteau tests of the adequacy of weak VARMA models.
- Improved multivariate portmanteau test
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
multivariate time seriesdynamic factor analysisstate spacegoodness of fitfactor-structural vector autoregressionPena-Box model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Linear transformations of vector ARMA processes
- Funds, Factors, and Diversification in Arbitrage Pricing Models
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Cited In (6)
- Corrected portmanteau tests for VAR models with time-varying variance
- Testing the Fit of a Vector Autoregressive Moving Average Model
- Departure from normality of increasing-dimension martingales
- Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
- On the reduced-rank model with leading index
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
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