WeightedPortTest

swMATH12429CRANWeightedPortTestMaRDI QIDQ24357FDOQ24357

Weighted Portmanteau Tests for Time Series Goodness-of-Fit

Colin M. Gallagher, Thomas J. Fisher

Last update: 24 May 2023

Copyright license: GNU General Public License

Software version identifier: 1.1

Official website: http://cran.r-project.org/web/packages/WeightedPortTest/index.html

Source code repository: https://github.com/cran/WeightedPortTest

Cited In (22)

• Rank-based statistics for testing the whiteness hypothesis of time series
• Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
• New weighted portmanteau statistics for time series goodness of fit testing
• Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
• A goodness-of-fit test for VARMA\((p, q)\) models
• A randomness test for functional panels
• Testing for correlation between two time series using a parametric bootstrap
• Portmanteau tests based on quadratic forms in the autocorrelations
• An extension of spatial dependence models for estimating short-term temperature portfolio risk
• Data-driven portmanteau tests for time series
• Rugarch
• tidyquant
• quantilogram
• rdefra
• portes
• ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
• Kernel-based portmanteau diagnostic test for ARMA time series models
• A Cauchy estimator test for autocorrelation
• The role of uncertainty on agricultural futures markets momentum trading and volatility
• QML inference for volatility models with covariates
• HellCor
• Diagnostic tests for non-causal time series with infinite variance

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