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

DOI10.1111/RSSB.12112MaRDI QIDQ5378363zbMATH OpenOpenAlexFDO

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

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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• A unified unit root test regardless of intercept
• A max-correlation white noise test for weakly dependent time series
• Test for Market Timing Using Daily Fund Returns

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