Diagnostic checking of periodic vector autoregressive time series models with dependent errors

DOI10.1016/J.JMVA.2024.105379MaRDI QIDQ6656674zbMATH OpenFDO

Authors Y. Boubacar Mainassara, Eugen Ursu

Publication date 3 January 2025

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

portmanteau testsresidual autocorrelationdiagnostic checkingweak periodic VAR

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

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