Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
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Publication:111926
DOI10.1080/01621459.2017.1380030zbMath1409.62169OpenAlexW2760347362MaRDI QIDQ111926
Bruno Saussereau, Yacouba Boubacar Maïnassara, Bruno Saussereau, Yacouba Boubacar Maïnassara
Publication date: 2 October 2018
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2017.1380030
goodness-of-fit testself-normalizationquasi-maximum likelihood estimationBox-Pierce and Ljung-Box portmanteau testsweak (V)ARMA models
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Diagnostics, and linear inference and regression (62J20)
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