On the finite-sample distribution of modified portmanteau tests for radomness of a Gaussian time series

DOI10.1093/biomet/83.4.938zbMath0925.62368OpenAlexW1774309483MaRDI QIDQ4364965

Andy C. C. Kwan, Ah-Boon Sim

Publication date: 17 November 1999

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/83.4.938

zbMATH Keywords

sample autocorrelationFisher's and Hotellings's variance-stabilising transformations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Related Items (3)

On the distribution of the sample autocorrelation coefficients ⋮ The multiple testing problem for Box-Pierce statistics ⋮ A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series

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