Multivariate portmanteau tests of the adequacy of weak VARMA models.

DOI10.1016/J.CRMA.2010.07.017MaRDI QIDQ990255zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3738768 (Why is no real title available?)
• Computing the distribution of quadratic forms in normal variables
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• The Multivariate Portmanteau Statistic

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
• scientific article; zbMATH DE number 3942794 (Why is no real title available?)
• 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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