On consistent testing for serial correlation in seasonal time series models

DOI10.1002/cjs.5550350201zbMath1130.65095OpenAlexW2042392697MaRDI QIDQ5442061

Pierre Duchesne

Publication date: 15 February 2008

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5550350201

zbMATH Keywords

tablesseasonalityserial correlationspectral density estimationtime series analysisdiagnostic testportmanteau test statistics

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Related Items (2)

On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms

Cites Work

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• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
• “Generalization of the durbin-watson statistic for higher order autoregressive processes

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