The Multivariate Portmanteau Statistic
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Publication:3888402
DOI10.2307/2287656zbMath0444.62104OpenAlexW4242939281MaRDI QIDQ3888402
Publication date: 1980
Full work available at URL: https://doi.org/10.2307/2287656
goodness-of-fit testmultivariate time seriesautoregressive moving-average processresidual autocovariancemultivariate portmanteau statistic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
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