The Multivariate Portmanteau Statistic
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(only showing first 100 items - show all)- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Departure from normality of increasing-dimension martingales
- Subset selection for vector autoregressive processes using Lasso
- On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
- Testing causality using efficiently parametrized vector ARMA models
- Autoregressive models for matrix-valued time series
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- Asymptotically most powerful rank tests for multivariate randomness against serial dependence
- Testing for serial correlation in multivariate regression models
- On consistent testing for serial correlation of unknown form in vector time series models.
- Inference on one-way effect and evidence in Japanese macroeconomic data
- Generating beta random numbers and Dirichlet random vectors in R: the package rBeta2009
- A goodness-of-fit test for VARMA\((p, q)\) models
- Diagnostic checking of the vector multiplicative error model
- Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
- A power comparison between autocorrelation based tests
- On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
- Emerging markets in the global economic network: real(ly) decoupling?
- On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
- Modelling co-movements and tail dependency in the international stock market via copulae
- A residual-based test for multivariate GARCH models using transformed quadratic residuals
- Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- Hypothesis testing for high-dimensional time series via self-normalization
- Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
- On testing for high-dimensional white noise
- Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- A test for second order stationarity of a multivariate time series
- Purchasing power parity between the UK and Germany: the euro era
- Testing for serial correlation of unknown form in cointegrated time series models
- A goodness-of-fit process for ARMA(p,q) models based on a modified residual autocorrelation sequence
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
- Interaction among three substitute products: an extended innovation diffusion model
- Moving dynamic principal component analysis for non-stationary multivariate time series
- On portmanteau-type tests for nonlinear multivariate time series
- Tail maximal dependence in bivariate models: estimation and applications
- Buffered vector error-correction models: an application to the U.S. Treasury bond rates
- Residual autocorrelation testing for vector error correction models
- Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
- Improved multivariate portmanteau test
- Portmanteau autocorrelation tests under q-dependence and heteroskedasticity
- A Weighted Linear Estimator of Multivariate ARCH Parameters
- On modelling and diagnostic checking of vector periodic autoregressive time series models
- A randomness test for functional panels
- Model reduction via the internally balanced state space representation
- Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
- ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
- An extended portmanteau test for VARMA models with mixing nonlinear constraints
- Monitoring Variability and Analyzing Multivariate Autocorrelated Processes
- SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
- Corrected portmanteau tests for VAR models with time-varying variance
- Test of independence for functional data
- CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS
- Tests for noncorrelation of two multivariate ARMA time series
- On testing for multivariate ARCH effects in vector time series models
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
- EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
- DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES
- Comparison of procedures for fitting the autoregressive order of a vector error correction model
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- Atmospheric CO₂ and global temperatures: the strength and nature of their dependence
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
- A simple nearly unbiased estimator of cross-covariances
- Multivariate models of equity returns for investment guarantees valuation
- Goodness-of-fit tests for centralized Wishart processes
- Improved functional portmanteau tests
- Goodness-of-fit tests for random sequences incorporating several components
- On testing for causality in variance between two multivariate time series
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- A new diagnostic tool for VARMA\((p,q)\) models
- Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Econometric tests of rationality and market efficiency
- An Updated Literature Review of Distance Correlation and Its Applications to Time Series
- White noise testing for functional time series
- A portmanteau-type test for detecting serial correlation in locally stationary functional time series
- Generalized Covariance Estimator
- Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
- Correcting the bias of the sample cross‐covariance estimator
- A frequency-domain test for multivariate white noise
- Generalized autocovariance matrices for multivariate time series
- The ensemble Kalman filter for multidimensional bioeconomic models
- George Box's contributions to time series analysis and forecasting
- Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters
- Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Diagnostic checking of periodic vector autoregressive time series models with dependent errors
- Spatial-sign-based high-dimensional white noises test
- Rank based tests for high dimensional white noise
- Wiener-type integral approximation for sampling distributions of irregularly spaced spatial data
- Vector moving average models: a review
- A rank based method for testing ARCH effect and serial correlation of high-dimensional time series
- Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses
- Generalized covariance-based inference for models set-identified from independence restrictions
- Testing independence for multivariate time series via auto multivariate distance covariance
- Portmanteau tests for semiparametric nonlinear conditionally heteroscedastic time series models
- On multiplicative seasonal modelling for vector time series
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