A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
DOI10.1111/j.1467-9892.1992.tb00104.xzbMath0746.62089MaRDI QIDQ4012948
Douglas M. Patterson, Melvin J. Hinich
Publication date: 27 September 1992
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00104.x
time series; mixing condition; martingale difference; large-sample results; financial series; diagnostic checks; discrete-time random process; increment process; cumulant functions; fitted residuals for signs of model inadequacy; martingale criterion; modified sample bispectrum; two-dimensional portmanteau test of serial dependence; white noise criterion
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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