A Cauchy estimator test for autocorrelation
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Publication:5220787
DOI10.1080/00949655.2013.874424zbMATH Open1457.62262OpenAlexW2042683269MaRDI QIDQ5220787FDOQ5220787
Authors:
Publication date: 27 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2013.874424
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Cites Work
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- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- New weighted portmanteau statistics for time series goodness of fit testing
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- A Powerful Portmanteau Test of Lack of Fit for Time Series
- A proposal for a residual autocorrelation test in linear models
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- Improved Peňa-Rodriguez portmanteau test
- The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series
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- A small sample confidence interval for autoregressive parameters
- Title not available (Why is that?)
Cited In (4)
- TESTING FOR ZERO AUTOCORRELATION WHEN THE INNOVATIONS BELONG TO THE NORMAL DOMAIN OF ATTRACTION OF A CAUCHY LAW
- Portmanteau tests based on quadratic forms in the autocorrelations
- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- The Lagrange multiplier test for autocorrelation in the presence of linear restrictions
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