A Cauchy estimator test for autocorrelation

DOI10.1080/00949655.2013.874424MaRDI QIDQ5220787zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

serial correlationgoodness-of-fitportmanteau test

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1799342 (Why is no real title available?)
• scientific article; zbMATH DE number 3633585 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• A method for fitting stable autoregressive models using the autocovariation function
• A proposal for a residual autocorrelation test in linear models
• A small sample confidence interval for autoregressive parameters
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Improved Peňa-Rodriguez portmanteau test
• Improved multivariate portmanteau test
• New weighted portmanteau statistics for time series goodness of fit testing
• On a measure of lack of fit in 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
• The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series

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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Uses Software

• WeightedPortTest

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