Portmanteau tests for ARMA models with infinite variance

DOI10.1111/j.1467-9892.2007.00572.xzbMath1199.62012arXiv1611.01360OpenAlexW2154239282MaRDI QIDQ3552840

Jen-Wen Lin, A. Ian McLeod

Publication date: 22 April 2010

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

Full work available at URL: https://arxiv.org/abs/1611.01360

zbMATH Keywords

stable Paretian distributiontesting for randomnessdiagnostic checksresidual autocorrelation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diagnostics, and linear inference and regression (62J20)

Related Items

Improved multivariate portmanteau test ⋮ Rank-based statistics for testing the whiteness hypothesis of time series ⋮ Empirical processes for infinite variance autoregressive models ⋮ On model Fitting and estimation of strictly stationary processes ⋮ A Portmanteau Test for ARMA Processes with Infinite Variance ⋮ Trimmed portmanteau test for linear processes with infinite variance ⋮ MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute ⋮ M-estimation for general ARMA Processes with Infinite Variance

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