Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals

DOI10.1007/978-1-4939-3076-0_14zbMath1365.62340OpenAlexW3125539975MaRDI QIDQ5272951

Bruno Rémillard, Kilani Ghoudi

Publication date: 5 July 2017

Published in: Asymptotic Laws and Methods in Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-3076-0_14

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (5)

Empirical processes for infinite variance autoregressive models ⋮ Serial independence tests for innovations of conditional mean and variance models ⋮ Copula-based dynamic models for multivariate time series ⋮ On partial-sum processes of ARMAX residuals ⋮ Change-point problems for multivariate time series using pseudo-observations

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