A Portmanteau Test for ARMA Processes with Infinite Variance

DOI10.1080/03610918.2012.709900zbMath1291.62163OpenAlexW2051778310MaRDI QIDQ5415873

Rongning Wu, Yunwei Cui

Publication date: 19 May 2014

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

Full work available at URL: https://doi.org/10.1080/03610918.2012.709900

zbMATH Keywords

portmanteau testpartial autocorrelationtrimmed residuals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

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Cites Work

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• A proposal for a residual autocorrelation test in linear models
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