AN IMPROVED MEASURE FOR LACK OF FIT IN TIME SERIES MODELS

DOI10.5705/ss.202016.0286zbMath1394.62120OpenAlexW2612912363MaRDI QIDQ4571209

Thomas J. Fisher, Michael Robbins

Publication date: 6 July 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0286

zbMATH Keywords

GARCHgoodness-of-fitautocorrelationportmanteauvector ARMA

Mathematics Subject Classification ID

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

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Data-driven portmanteau tests for time series ⋮ Testing for correlation between two time series using a parametric bootstrap

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