A new look at portmanteau tests

DOI10.1007/s13171-017-0109-3zbMath1387.62023OpenAlexW2739792530MaRDI QIDQ1744726

Masanobu Taniguchi, Hiroaki Odashima, Fumiya Akashi, Anna Clara Monti

Publication date: 19 April 2018

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

Full work available at URL: https://doi.org/10.1007/s13171-017-0109-3

zbMATH Keywords

serial correlationtime series analysisFisher information matrixvariable selectionportmanteau testasymptotic local power

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Data-driven portmanteau tests for time series

Cites Work

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• An exponential model for the spectrum of a scalar time series

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