Goodness-of-fit tests for SPARMA models with dependent error terms
DOI10.1515/jtse-2022-0002OpenAlexW4210480586MaRDI QIDQ2151745
Yacouba Boubacar Maïnassara, Abdoulkarim Ilmi Amir
Publication date: 5 July 2022
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2022-0002
seasonalitygoodness-of-fit testself-normalizationprimaryresidual autocorrelationsquasi-generalized least squaresweak PARMA modelsweak SARMAweak SPARMA models
Applications of statistics to economics (62P20) 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)
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