Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors

DOI10.1016/j.csda.2021.107321OpenAlexW3185365215WikidataQ108871220 ScholiaQ108871220MaRDI QIDQ2242146

Muyi Li, Yan-Fen Zhang

Publication date: 9 November 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2021.107321

zbMATH Keywords

goodness-of-fit testmultivariate white noise checkingrandom weighting bootstrapweak VAR model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models

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