scientific article; zbMATH DE number 774846

MaRDI QIDQ4839360zbMATH OpenFDO

Authors S. Y. Hwang, I. V. Basawa, Jack H. Reeves

Publication date 17 July 1995

zbMATH Keywords

residualsnonlinear time seriesconditional least squaresdiagnostic testingsimulation resultsresidual autocorrelationstests of fitjoint asymptotic distributionsample autocorrelation functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(8)

• Higher-Order Residual Analysis for Nonlinear Time Series with Autoregressive Correlation Structures
• An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking
• Efficient detection of random coefficients in autoregressive models
• Asymptotic normality of the residual correlogram in the continuous-time nonlinear regression model
• On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
• On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
• A proposal for a residual autocorrelation test in linear models
• Diagnostic checking of multivariate nonlinear time series models with martingale difference errors

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