Rank-based statistics for testing the whiteness hypothesis of time series

DOI10.1080/03610918.2018.1458127OpenAlexW2800615156MaRDI QIDQ5087518

G. Dazi, M. Azimmohseni, F. Yaghmaie

Publication date: 1 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1458127

zbMATH Keywords

simulationautocorrelationskew-normal distributionstable distributionpartial autocorrelationwhiteness

Mathematics Subject Classification ID

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

Uses Software

• WeightedPortTest

Cites Work

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