Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
DOI10.1214/23-ejs2125arXiv1912.00013OpenAlexW2990293138MaRDI QIDQ6158216
Yacouba Boubacar Maïnassara, Bruno Saussereau, Youssef Esstafa
Publication date: 31 May 2023
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.00013
nonlinear processesleast squares estimatorself-normalizationresidual autocorrelationslong-memory processesweak FARIMA modelsBox-Pierce and Ljung-Box Portmanteau tests
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)
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