scientific article; zbMATH DE number 3633585
From MaRDI portal
Publication:4194329
zbMath0407.62065MaRDI QIDQ4194329
Publication date: 1978
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Arma ModelIntervention AnalysisLarge Sample DistributionBox-Jenkins ModellingModel CriticismMultiplicative Seasonal Arma ModelResidual Autocorrelations
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (41)
On the asymptotic distribution of residual autocovariances in VARX models with applications ⋮ A randomness test for functional panels ⋮ White noise testing for functional time series ⋮ Portmanteau test for the asymmetric power GARCH model when the power is unknown ⋮ Multivariate contemporaneous ARMA model with hydrological applications ⋮ On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root ⋮ ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT ⋮ Asymptotic behaviour of the portmanteau tests in an integer-valued AR model ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms ⋮ Portmanteau test for a class of multivariate asymmetric power GARCH model ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Asymptotic distribution of residual autocorrelations from estimation of ARMA processes by Gram-Schmidt orthogonalization ⋮ Estimating the asymptotic variance matrix of the QMLE of weak multivariate ARMA models ⋮ A test for the presence of pure feedback in multivariate dynamic stochastic systems ⋮ Goodness-of-fit tests for Log-GARCH and EGARCH models ⋮ Distribution of the cross‐correlations of squared residuals in ARIMA models ⋮ Unnamed Item ⋮ A Portmanteau Test for Smooth Transition Autoregressive Models ⋮ A new diagnostic tool for VARMA(p,q) models ⋮ The multiple testing problem for Box-Pierce statistics ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ Rank-based partial aurocorrelations are not asymptotically distribution-free ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors ⋮ Portmanteau tests based on quadratic forms in the autocorrelations ⋮ DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS ⋮ Minimum distance estimation of \(k\)-factors GARMA processes ⋮ Multivariate portmanteau tests for weak multiplicative seasonal VARMA models ⋮ On multiplicative seasonal modelling for vector time series ⋮ Some weighted mixed portmanteau tests for diagnostic checking in linear time series models ⋮ On multiple portmanteau tests ⋮ Improved Peňa-Rodriguez portmanteau test ⋮ On diagnostic checking of the autoregressive conditional intensity model ⋮ Departure from normality of increasing-dimension martingales ⋮ A Cauchy estimator test for autocorrelation ⋮ On covariance function tests used in system identification ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute ⋮ Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models ⋮ The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors ⋮ A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach ⋮ Mixed portmanteau test for diagnostic checking of time series models ⋮ On testing for independence between the innovations of several time series
This page was built for publication:
