Robust goodness-of-fit tests for \(\text{AR} (p)\) models based on \(L_1\)-norm fitting

DOI10.1007/BF02874252zbMath0936.62099OpenAlexW2069218433MaRDI QIDQ1305566

Zhongguo Zheng, Jiancheng Jiang, Yer Van Hui

Publication date: 17 February 2000

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02874252

zbMATH Keywords

time seriesportmanteau statisticL1-regressionmodel diagnostic checkingrobustified residual autocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

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