A Powerful Portmanteau Test of Lack of Fit for Time Series

DOI10.1198/016214502760047122zbMath1073.62554OpenAlexW2056251361MaRDI QIDQ4468411

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/10133

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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