Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
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Publication:5430508
DOI10.1111/j.1467-9892.2006.00521.xzbMath1165.62057OpenAlexW2135409317MaRDI QIDQ5430508
Hamdi Raïssi, Christian Francq
Publication date: 16 December 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00521.x
goodness-of-fit testresidual autocorrelationdiagnostic checkingBox-Pierce and Ljung-Box portmanteau testsvector weak AR model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
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- Diagnostic testing of univariate time series models
- The Multivariate Portmanteau Statistic
- Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
- Stochastic Limit Theory
- Convergence of Distributions Generated by Stationary Stochastic Processes
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
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