A FREQUENCY DOMAIN APPROACH TO LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING AVERAGE MODELS

DOI10.1111/J.1467-9892.1986.TB00486.XzbMATH Open0581.62075OpenAlexW1968678854MaRDI QIDQ3703145FDOQ3703145

Authors: Pham Dinh Tuan 

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00486.x

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zbMATH Keywords

recursive proceduregoodness of fit testsample autocovariancesautoregressive moving average modelsLagrange multiplier approachfrequency domain approximation to the log likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• An approach to testing linear time series models
• Testing the adequacy of a time series model

Cited In (2)

• ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• The Lagrange multiplier test for autocorrelation in the presence of linear restrictions

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