Testing for Equal Predictability of Stationary ARMA Processes

DOI10.1080/02664760701592158OpenAlexW1975177545MaRDI QIDQ5123345

Umberto Triacca, Edoardo Otrano

Publication date: 28 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760701592158

zbMATH Keywords

parallelismGARCH modelsWold decompositionforecasts

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Spectral Decomposition of the AR Metric ⋮ Identifying financial time series with similar dynamic conditional correlation ⋮ Clustering heteroskedastic time series by model-based procedures

Uses Software

• TRAMO

Cites Work

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• Time series: theory and methods.
• Estimating the dimension of a model
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• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models
• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• Joint Estimation of Model Parameters and Outlier Effects in Time Series

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