A Portmanteau Test for ARMA Processes with Infinite Variance

DOI10.1080/03610918.2012.709900zbMath1291.62163MaRDI QIDQ5415873

Rongning Wu, Yunwei Cui

Publication date: 19 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.709900

zbMATH Keywords

portmanteau test; partial autocorrelation; trimmed residuals

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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