Asymmetric vector moving average models: estimation and testing

DOI10.1007/s00180-020-01056-1zbMath1505.62119OpenAlexW3127332357MaRDI QIDQ2032234

Jan G. De Gooijer

Publication date: 16 June 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-01056-1

zbMATH Keywords

asymmetriesmultivariatetest performancecross-bicovariance estimatesWald-type test statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

The marginal distribution function of threshold-type processes with central symmetric innovations

Cites Work

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