Testing the Fit of a Vector Autoregressive Moving Average Model

DOI10.1111/j.1467-9892.2005.00419.xzbMath1090.62096OpenAlexW3122877468MaRDI QIDQ5467617

Efstathios Paparoditis

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00419.x

zbMATH Keywords

bootstrapkernel estimatorsgoodness-of-fitdiagnosticsspectral density matrixperiodogram matrix

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)

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