Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models

DOI10.2307/2286410zbMath0423.62069OpenAlexW4245350553MaRDI QIDQ3857609

A. Ian McLeod

Publication date: 1979

Full work available at URL: https://doi.org/10.2307/2286410

zbMATH Keywords

Granger causalitymodel identificationrelationshipsdistribution of residual cross-correlationunivariate ARMA time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (8)

Multivariate contemporaneous ARMA model with hydrological applications ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Robust residual cross correlation tests for lagged relations in time series ⋮ Distribution of the cross‐correlations of squared residuals in ARIMA models ⋮ Tests for noncorrelation of two multivariate ARMA time series ⋮ On approximating the distribution of indefinite quadratic forms ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute ⋮ On testing for independence between the innovations of several time series

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