Generalised portmanteau statistics and tests of randomness: A note on their applications to residuals from a fitted ARMA model

DOI10.1016/0165-1765(88)90196-6zbMath1328.62525OpenAlexW2019530839MaRDI QIDQ900099

Andy C. C. Kwan, Ah-Boon Sim

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(88)90196-6

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Some robust exact results on sample autocorrelations and tests of randomness
• Generalized portmanteau statistics and tests of randomness
• On a measure of lack of fit in time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Rank correlation and product-moment correlation