Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) model based on Laplace(a,b)
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Publication:824761
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Cites work
- A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
- A proposal for a residual autocorrelation test in linear models
- Asymptotic inference for a nonstationary double AR(1) model
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- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
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- Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Estimating linear representations of nonlinear processes
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Generalized portmanteau statistics and tests of randomness
- Heteroscedastic mixture double-autoregressive model for modeling nonlinear time series
- LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- New weighted portmanteau statistics for time series goodness of fit testing
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- Portmanteau test based on the ARFIMA-GARCH model
- Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
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