A Cauchy estimator test for autocorrelation

DOI10.1080/00949655.2013.874424zbMath1457.62262OpenAlexW2042683269MaRDI QIDQ5220787

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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

zbMATH Keywords

serial correlationgoodness-of-fitportmanteau test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• WeightedPortTest

Cites Work

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• A Powerful Portmanteau Test of Lack of Fit for Time Series
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification
• A method for fitting stable autoregressive models using the autocovariation function

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