Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
From MaRDI portal
Publication:928971
DOI10.1016/j.spl.2007.10.003zbMath1141.62064OpenAlexW2016456044MaRDI QIDQ928971
Pierre Duchesne, Dominique Chabot-Hallé
Publication date: 11 June 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.10.003
Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (7)
Improved multivariate portmanteau test ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ On portmanteau-type tests for nonlinear multivariate time series ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ On Estimation of the Bivariate Poisson INAR Process ⋮ Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
Uses Software
Cites Work
- Threshold models in non-linear time series analysis
- On the asymptotic distribution of residual autocovariances in VARX models with applications
- Estimation in nonlinear time series models
- On conditional least squares estimation for stochastic processes
- On the invertibility of time series models
- ARCH models and financial applications
- Asymptotic theory of statistical inference for time series
- On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
- Inference For Autocorrelations Under Weak Assumptions
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- The Multivariate Portmanteau Statistic
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- On a measure of lack of fit in time series models
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- Testing and Modeling Multivariate Threshold Models
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Analysis of Financial Time Series
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
