On portmanteau-type tests for nonlinear multivariate time series

DOI10.1016/j.jmva.2023.105157OpenAlexW4315644259MaRDI QIDQ2692931

Jan G. De Gooijer

Publication date: 17 March 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105157

zbMATH Keywords

multivariate nonlinear time seriesmixed multivariate testsmultiple-lag testsresidual autocovariancessingle-lag tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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