A spectral density test for whiteness

DOI<633::AID-ACS562>3.0.CO;2-7 10.1002/(SICI)1099-1115(199912)13:8<633::AID-ACS562>3.0.CO;2-7zbMath0952.62085OpenAlexW1988978919MaRDI QIDQ4944203

Karim Drouiche

Publication date: 11 January 2001

Full work available at URL: https://doi.org/10.1002/(sici)1099-1115(199912)13:8<633::aid-acs562>3.0.co;2-7

zbMATH Keywords

fast Fourier transformsspectral densityportmanteau testwhiteness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Unnamed Item
• Time series: theory and methods.
• Comparison of two modified portmanteau tests for model adequacy
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• On a measure of lack of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• Distribution of the Serial Correlation Coefficient

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