Partial and inverse autocorrelations in portmanteau-type tests for time series
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Publication:4784256
DOI10.1080/03610910008813649zbMath1008.62082OpenAlexW2001389208MaRDI QIDQ4784256
Roberto Baragona, Francesco Battaglia
Publication date: 10 April 2003
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910008813649
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)
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Cites Work
- A comparative study of the finite-sample distribution of some portmanteau tests for univariate time series models
- THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES
- INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS
- Generalized portmanteau statistics and tests of randomness
- Diagnostic testing of univariate time series models
- Autoregressive and window estimates of the inverse correlation function
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- A proposal for a residual autocorrelation test in linear models
- Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model
- The Inverse Autocorrelations of a Time Series and Their Applications
- HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES
- A characterization of the inverse autocorrelation function
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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