Bootstrapping the portmanteau tests in weak auto-regressive moving average models

DOI10.1111/RSSB.12112zbMATH Open1414.62345OpenAlexW1969584752MaRDI QIDQ5378363FDOQ5378363

Authors: Ke Zhu 

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/61930/1/MPRA_paper_61930.pdf

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zbMATH Keywords

bootstrap methodportmanteau testweighted portmanteau testpower generalized auto-regressive conditional heteroscedasticity modelsrandom-weighting approachweak auto-regressive moving average models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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• Three-step risk inference in insurance ratemaking
• Optimal estimating function for weak location‐scale dynamic models
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
• Multifrequency-Band Tests for White Noise Under Heteroscedasticity
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• The ZD-GARCH model: a new way to study heteroscedasticity
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• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models

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