Multivariate portmanteau tests of the adequacy of weak VARMA models.

DOI10.1016/j.crma.2010.07.017zbMath1201.62102OpenAlexW1967039529MaRDI QIDQ990255

Yacouba Boubacar Maïnassara

Publication date: 6 September 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2010.07.017

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms

Cites Work

• Unnamed Item
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• The Multivariate Portmanteau Statistic
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• Computing the distribution of quadratic forms in normal variables
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Diagnostic Checking in ARMA Models With Uncorrelated Errors

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