scientific article

zbMath0471.62091MaRDI QIDQ3925035

Jonathan R. M. Hosking

Publication date: 1981

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

residual autocorrelationtime-series modelmultivariate autoregressive moving-average process

Mathematics Subject Classification ID

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

Related Items (13)

Residual autocorrelation testing for vector error correction models ⋮ Testing causality using efficiently parametrized vector ARMA models ⋮ Improved multivariate portmanteau test ⋮ Correcting the bias of the sample cross‐covariance estimator ⋮ On consistent testing for serial correlation of unknown form in vector time series models. ⋮ A new diagnostic tool for VARMA(p,q) models ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms ⋮ Autoregressive models for matrix-valued time series ⋮ Multivariate portmanteau tests of the adequacy of weak VARMA models. ⋮ Multivariate portmanteau tests for weak multiplicative seasonal VARMA models ⋮ On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap ⋮ A simple nearly unbiased estimator of cross‐covariances

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