SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS

DOI10.1111/j.1467-9892.1986.tb00505.xzbMath0596.62087OpenAlexW2075440756MaRDI QIDQ3729869

A. R. Tremayne, D. S. Poskitt

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.tb00505.x

zbMATH Keywords

Monte Carlopowersizescore testLagrangian multiplierportmanteau testsdiagnostic checkingAsymptotic theoryvector autoregressive-moving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Time series prediction based on data compression methods ⋮ Inference for Random Coefficient INAR(1) Process Based on Frequency Domain Analysis

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