Diagnostic tests for non-causal time series with infinite variance
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Publication:389304
DOI10.1016/j.jspi.2013.10.010zbMath1278.62142arXiv1209.4013OpenAlexW2963901229MaRDI QIDQ389304
Thomas J. Fisher, Yunwei Cui, Rongning Wu
Publication date: 20 January 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.4013
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
Rank-based statistics for testing the whiteness hypothesis of time series ⋮ Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance ⋮ Misspecification of noncausal order in autoregressive processes
Uses Software
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