A comparative study of the finite-sample distribution of some portmanteau tests for univariate time series models

DOI10.1080/03610919608813348zbMath0875.62409OpenAlexW2005218980MaRDI QIDQ3125813

Andy C. C. Kwan, Yangru Wu

Publication date: 20 May 1997

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919608813348

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Partial and inverse autocorrelations in portmanteau-type tests for time series

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