Data-driven portmanteau tests for time series

DOI10.1007/s11749-021-00794-8zbMath1496.62148OpenAlexW4206318192MaRDI QIDQ2084715

Francesco Battaglia, Domenico Cucina, Roberto Baragona

Publication date: 13 October 2022

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-021-00794-8

zbMATH Keywords

autocorrelationinformation criteriawhite noise hypothesisEscanciano and Lobato test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Uses Software

• WeightedPortTest

Cites Work

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