A simple portmanteau test with data-driven truncation point
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Publication:6567422
Cites work
- scientific article; zbMATH DE number 6290111 (Why is no real title available?)
- A max-correlation white noise test for weakly dependent time series
- An Improvement of the Portmanteau Statistic
- An automatic portmanteau test for serial correlation
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- Data-driven portmanteau tests for time series
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- Generalized portmanteau statistics and tests of randomness
- Inference For Autocorrelations Under Weak Assumptions
- ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- On a measure of lack of fit in time series models
- On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
- On the distribution of the sample autocorrelation coefficients
- Properties of doubly-truncated gamma variables
- Robust M tests using kernel-based estimators with bandwidth equal to sample size
- Robust adaptive rate-optimal testing for the white noise hypothesis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
- Towards data driven selection of a penalty function for data driven Neyman tests
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