Generalised portmanteau statistics and tests of randomness: A note on their applications to residuals from a fitted ARMA model
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Publication:900099
DOI10.1016/0165-1765(88)90196-6zbMath1328.62525OpenAlexW2019530839MaRDI QIDQ900099
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
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