DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES
DOI10.1111/J.1467-9892.1996.TB00267.XzbMATH Open0835.62081OpenAlexW2135891436MaRDI QIDQ4870533FDOQ4870533
Authors: Dong Wan Shin, Jong Hyup Lee 
Publication date: 20 March 1996
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00267.x
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- The Multivariate Portmanteau Statistic
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- Distribution of residual autocorrelations in multivariate autoregressive index models
Cited In (6)
- Diagnostic test for unstable autoregressive models
- Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
- On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
- The empirical process of autoregressive residuals
- Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
- Title not available (Why is that?)
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