Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications

DOI10.1111/jtsa.12026zbMath1275.62065OpenAlexW1934967969MaRDI QIDQ2864627

Pierre Duchesne, Pierre Lafaye de Micheaux

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12026

zbMATH Keywords

time seriesasymptotic distributionsparsimonious modelsresidual autocovariancesperiodic time series modelsportmanteau test statistics

Mathematics Subject Classification ID

Related Items (2)

Estimation and identification of periodic autoregressive models with one exogenous variable ⋮ Portmanteau tests for periodic ARMA models with dependent errors

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