Diagnostic checking in linear processes with infinite variance
type: Item
instance of: scholarly article
title: Diagnostic checking in linear processes with infinite variance
zbMATH Open document ID: 1003.62074
DOI: 10.1016/S0895-7177(01)00120-0
published in: Mathematical and Computer Modelling
publication date: 2002-06-13T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60E07
zbMATH DE Number: 1755431
zbMATH Keywords: stable distributions
zbMATH Keywords: residual autocorrelation
zbMATH Keywords: ARMA-models
author: Walter Krämer
author: Ralf Runde
MaRDI profile type: Publication
cites work: Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
cites work: Limit theory for the sample covariance and correlation functions of moving averages
cites work: Time series: theory and methods.
cites work: The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
cites work: Q3911791
cites work: Modeling asset returns with alternative stable distributions*
cites work: Limit theory for moving averages of random variables with regularly varying tail probabilities
cites work: A Method for Simulating Stable Random Variables
cites work: Q4727203
Recommended article: Diagnostic tests for non-causal time series with infinite variance
Recommended article: Diagnostic Checking in a Flexible Nonlinear Time Series Model
Recommended article: Diagnostic checking of Markov multiplicative error models
Recommended article: Parameter estimation and diagnostic tests for INMA(1) processes
Recommended article: Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
Recommended article: Diagnostic checking for conditional heteroscedasticity models
Recommended article: Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
Recommended article: On multiple diagnostic procedures for the linear model
Recommended article: Variance diagnostics for classical and Bayesian linear regression
description: scientific article; zbMATH DE number 1755431