Distribution of residual autocorrelations in multivariate autoregressive index models

DOI10.1093/biomet/72.3.686zbMath0586.62148OpenAlexW2141793792MaRDI QIDQ3711572

No author found.

Publication date: 1985

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/72.3.686

zbMATH Keywords

stationary time seriesmultivariate autoregressive index modelsresidual autocorrelationsmodel adequacyportmanteau statisticindex series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root ⋮ DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES ⋮ Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model

This page was built for publication: Distribution of residual autocorrelations in multivariate autoregressive index models