Higher-Order Residual Analysis for Nonlinear Time Series with Autoregressive Correlation Structures
From MaRDI portal
Publication:3753347
DOI10.2307/1403268zbMath0612.62122MaRDI QIDQ3753347
Peter A. W. Lewis, Anthony 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
nonlinear time series; cross-correlation; residual analysis; random coefficient autoregression; autoregressive Yule-Walker equations; higher-order dependency structure; multiplicative autoregression; second-order autocorrelations
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Measures of Dependence and Tests of Independence, Portmanteau tests for linearity of stationary time series, A characterization of random-coefficient AR(1) models, Unnamed Item