Empirical likelihood-based portmanteau tests for autoregressive moving average models with possible infinite variance innovations

DOI10.4310/22-SII761arXiv2209.09704OpenAlexW4365799554MaRDI QIDQ6073459

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Publication date: 16 September 2023

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.09704

zbMATH Keywords

infinite varianceGARCH processempirical likelihoodARMA modeldiagnostic checking

Mathematics Subject Classification ID

Statistics (62-XX)

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