scientific article; zbMATH DE number 3738768

zbMATH Open0471.62091MaRDI QIDQ3925035FDOQ3925035

Authors: Jonathan R. M. Hosking 

Publication date: 1981

Title of this publication is not available (Why is that?)

zbMATH Keywords

residual autocorrelationtime-series modelmultivariate autoregressive moving-average process

Mathematics Subject Classification ID

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

Cited In (15)

• A simple nearly unbiased estimator of cross-covariances
• Multivariate portmanteau tests of the adequacy of weak VARMA models.
• Residual autocorrelation testing for vector error correction models
• Improved multivariate portmanteau test
• A new diagnostic tool for VARMA\((p,q)\) models
• Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• Testing causality using efficiently parametrized vector ARMA 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
• Correcting the bias of the sample cross‐covariance estimator
• Diagnostic checking of periodic vector autoregressive time series models with dependent errors
• Autoregressive models for matrix-valued time series
• On consistent testing for serial correlation of unknown form in vector time series models.
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• Generalized autocovariance matrices for multivariate time series

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