Multivariate portmanteau tests for weak multiplicative seasonal VARMA models

DOI10.1007/s00362-018-1055-4zbMath1461.62154OpenAlexW2901564649WikidataQ128929899 ScholiaQ128929899MaRDI QIDQ2029218

Yacouba Boubacar Maïnassara, Abdoulkarim Ilmi Amir

Publication date: 3 June 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-1055-4

zbMATH Keywords

goodness-of-fit testresidual autocorrelationportmanteau testsquasi-maximum likelihood estimationweak SVARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)

Related Items (3)

Portmanteau test for the asymmetric power GARCH model when the power is unknown ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms ⋮ Portmanteau test for a class of multivariate asymmetric power GARCH model

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