A simple portmanteau test with data-driven truncation point
From MaRDI portal
Publication:6567422
DOI10.1007/s00180-022-01320-6MaRDI QIDQ6567422
Roberto Baragona, Francesco Battaglia, Domenico Cucina
Publication date: 5 July 2024
Published in: Computational Statistics (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Robust M tests using kernel-based estimators with bandwidth equal to sample size
- Data-driven portmanteau tests for time series
- Robust adaptive rate-optimal testing for the white noise hypothesis
- Towards data driven selection of a penalty function for data driven Neyman tests
- An automatic portmanteau test for serial correlation
- On the distribution of the sample autocorrelation coefficients
- ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
- Inference For Autocorrelations Under Weak Assumptions
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- An Improvement of the Portmanteau Statistic
- Generalized portmanteau statistics and tests of randomness
- On a measure of lack of fit in time series models
- Properties of doubly-truncated gamma variables
- On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES
This page was built for publication: A simple portmanteau test with data-driven truncation point
