A bootstrapped spectral test for adequacy in weak ARMA models
From MaRDI portal
(Redirected from Publication:494376)
Recommendations
- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
- A new test for ARMA models with errors following a general white noise process
- Testing for uncorrelated errors in ARMA models: non-standard Andrews-Ploberger tests
- Specification testing in nonparametric AR‐ARCH models
- Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
Cites work
- scientific article; zbMATH DE number 3963031 (Why is no real title available?)
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 3591256 (Why is no real title available?)
- scientific article; zbMATH DE number 4121135 (Why is no real title available?)
- scientific article; zbMATH DE number 774870 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3245885 (Why is no real title available?)
- A bootstrap-assisted spectral test of white noise under unknown dependence
- A quadratic measure of deviation of two-dimensional density estimates and a test of independence
- A simple resampling method by perturbing the minimand
- An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking
- An automatic portmanteau test for serial correlation
- Analysis of Financial Time Series
- Analysis of least absolute deviation
- Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit
- Asymptotic spectral theory for nonlinear time series
- Asymptotic theory for a vector ARMA-GARCH model
- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
- Consistent Testing for Serial Correlation of Unknown Form
- Convergence of Distributions Generated by Stationary Stochastic Processes
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Distribution free goodness-of-fit tests for linear processes
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Estimating linear representations of nonlinear processes
- Generalised likelihood ratio tests for spectral density
- Generalized spectral tests for the martingale difference hypothesis
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- Inference For Autocorrelations Under Weak Assumptions
- Jackknife, bootstrap and other resampling methods in regression analysis
- Least absolute relative error estimation
- Limit theorems for iterated random functions
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Model checks using residual marked empirical processes
- Model identification for time series with dependent innovations
- Nonlinear system theory: Another look at dependence
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- On a measure of lack of fit in time series models
- On blocking rules for the bootstrap with dependent data
- Residual-Based Block Bootstrap for Unit Root Testing
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
- Spectral based testing of the martingale hypothesis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Subsampling
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
- Testing That a Dependent Process Is Uncorrelated
- The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
- The mixing property of bilinear and generalised random coefficient autoregressive models
- The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
- Unit root testing via the stationary bootstrap
Cited in
(16)- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Temporal aggregation and systematic sampling for INGARCH processes
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- White noise testing and model diagnostic checking for functional time series
- Optimal estimating function for weak location‐scale dynamic models
- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
- Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
- The ZD-GARCH model: a new way to study heteroscedasticity
- Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
- A new test for ARMA models with errors following a general white noise process
- Estimating FARIMA models with uncorrelated but non-independent error terms
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
- A max-correlation white noise test for weakly dependent time series
This page was built for publication: A bootstrapped spectral test for adequacy in weak ARMA models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q494376)
