Higher-Order Residual Analysis for Nonlinear Time Series with Autoregressive Correlation Structures

DOI10.2307/1403268zbMATH Open0612.62122OpenAlexW2032066411MaRDI QIDQ3753347FDOQ3753347

Peter A. W. Lewis, A. J. Lawrance

Publication date: 1987

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1403268

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zbMATH Keywords

nonlinear time seriescross-correlationresidual analysisrandom coefficient autoregressionautoregressive Yule-Walker equationshigher-order dependency structuremultiplicative autoregressionsecond-order autocorrelations

Mathematics Subject Classification ID

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

Cited In (6)

• Measures of Dependence and Tests of Independence
• Title not available (Why is that?)
• Portmanteau tests for linearity of stationary time series
• A characterization of random-coefficient AR(1) models
• On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
• New mixed portmanteau tests for time series models

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