Diagnostic Checking in ARMA Models With Uncorrelated Errors
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Publication:5754835
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(95)- Aggregation and systematic sampling of periodic ARMA processes
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- A goodness-of-fit test for VARMA\((p, q)\) models
- A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- On model Fitting and estimation of strictly stationary processes
- A power comparison between autocorrelation based tests
- Testing linear causality in mean when the number of estimated parameters is high
- Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- Data-driven portmanteau tests for time series
- Temporal aggregation and systematic sampling for INGARCH processes
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models
- Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Residual-based rank specification tests for AR-GARCH type models
- Robust adaptive rate-optimal testing for the white noise hypothesis
- Testing the co-integrationg rank with the likelihood ratio test under dependent errors assumption
- An automatic portmanteau test for serial correlation
- White noise testing and model diagnostic checking for functional time series
- A distance-based test of independence between two multivariate time series
- Probabilistic properties of parametric dual and inverse time series models generated by ARMA models
- Poisson QMLE of count time series models
- Noncausal vector autoregression
- Asymptotic properties of weighted least squares estimation in weak PARMA models
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
- Selection of weak VARMA models by modified Akaike's information criteria
- A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
- Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations
- A light-tailed conditionally heteroscedastic model with applications to river flows
- Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
- Corrected portmanteau tests for VAR models with time-varying variance
- Computing and estimating information matrices of weak ARMA models
- Autocopulas: investigating the interdependence structure of stationary time series
- A simple test for white noise in functional time series
- Testing for residual correlation of any order in the autoregressive process
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
- Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
- Comparison of procedures for fitting the autoregressive order of a vector error correction model
- A bootstrapped spectral test for adequacy in weak ARMA models
- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- The portmanteau tests and the LM test for ARMA models with uncorrelated errors
- A general approach to conditional moment specification testing with projections
- Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing
- ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
- Kernel-based portmanteau diagnostic test for ARMA time series models
- Multivariate hypothesis testing using generalized and {2}-inverses – with applications
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Propriétés dans L2et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques
- Testing for correlation between two time series using a parametric bootstrap
- Fourier–type tests involving martingale difference processes
- A note on limiting distribution of the sample auto-covariance function for the first-order autoregressive (AR(1)) model
- scientific article; zbMATH DE number 7688003 (Why is no real title available?)
- Estimating weak periodic vector autoregressive time series
- Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
- Permutation testing for dependence in time series
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Portmanteau tests for periodic ARMA models with dependent errors
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Optimal estimating function for weak location‐scale dynamic models
- Extremal Dependence-Based Specification Testing of Time Series
- Generalized Covariance Estimator
- Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
- Estimating structural VARMA models with uncorrelated but non-independent error terms
- Testing instantaneous linear Granger causality in presence of nonlinear dynamics
- ARMA model checking with data-driven portmanteau tests
- A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
- Diagnostic checking of periodic vector autoregressive time series models with dependent errors
- An automatic multi-scale test for serial correlation of high-dimensional time series
- Conditional symmetry test based on empirical characteristic function
- Weighted portmanteau statistics for testing for zero autocorrelation in dependent data
- Generalized covariance-based inference for models set-identified from independence restrictions
- Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models
- Portmanteau tests for semiparametric nonlinear conditionally heteroscedastic time series models
- Parameter estimation for partially observed affine and polynomial processes
- Noncausal AR processes driven by causal GARCH volatility
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
- Dual and inverse ARMA processes and application to time reversibility
- HAC estimation and strong linearity testing in weak ARMA models
- Asymptotic inference in multiple-threshold double autoregressive models
- Semi-strong linearity testing in linear models with dependent but uncorrelated errors
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
- Computing the distribution of quadratic forms: further comparisons between the Liu-Tang-Zhang approximation and exact methods
- Multivariate portmanteau tests of the adequacy of weak VARMA models.
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