Asymptotic properties of some tests for autocorrelation

DOI10.1080/02331888608801910zbMath0587.62166OpenAlexW2026678948MaRDI QIDQ3713444

Pentti Saikkonen

Publication date: 1986

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888608801910

zbMATH Keywords

frequency domainlikelihood ratio testGaussian processtime domainspectrumlocal alternativesLagrange multiplier testefficient score testtests for autocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Dependent versions of a central limit theorem for the squared length of a sample mean ⋮ ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS

Cites Work

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• ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
• A test of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• The prediction variance and related statistics for stationary time series
• Estimation of the Innovation Variance of a Stationary Time Series
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• TESTS OF FIT IN TIME SERIES

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