Multivariate portmanteau tests of the adequacy of weak VARMA models.
DOI10.1016/J.CRMA.2010.07.017zbMATH Open1201.62102OpenAlexW1967039529MaRDI QIDQ990255FDOQ990255
Authors: Y. Boubacar Mainassara 
Publication date: 6 September 2010
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2010.07.017
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Computing the distribution of quadratic forms in normal variables
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- The Multivariate Portmanteau Statistic
- Title not available (Why is that?)
- Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Estimating structural VARMA models with uncorrelated but non-independent error terms
Cited In (15)
- Corrected portmanteau tests for VAR models with time-varying variance
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
- Testing the Fit of a Vector Autoregressive Moving Average Model
- An extended portmanteau test for VARMA models with mixing nonlinear constraints
- Improved multivariate portmanteau test
- A new diagnostic tool for VARMA\((p,q)\) models
- On multiplicative seasonal modelling for vector time series
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
- Rank-based optimal tests of the adequacy of an elliptic VARMA model
- Title not available (Why is that?)
- Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
- Finite-sample multivariate tests for ARCH in vector autoregressive models
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
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