Add to ORKGThe aim of this thesis is to derive the limiting distributions of the residual and the squared residual autocorrelation functions of the nonstationary autoregressive moving-average model, respectively. The results are used to construct two portmanteau statistics for testing the adequacy of the fitted model. Simulation results show that the tests have reasonable empirical sizes and powers in the finite samples
The large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...
The portmanteau statistic based on the first m residual autocorrelations is used for diagnostic chec...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
This paper obtains the joint limiting distribution of residuals and squared residuals of a general t...
CAPESThe class of beta autoregressive moving average (bARMA) models is useful for modeling time seri...
We derive Portmanteau tests for a large class of non-linear time series models. This is done by repl...
The ARMA-GARCH model has been commonly used in economics and finance. The portmanteau test based on ...
Autoregressive and moving-average (ARMA) models with stable Paretian errors are some of the most stu...
This thesis aims at investigating different forms of residuals from a general time series model with...
Several diagnostic tests for the lack of fit time series models have been introduced using parametri...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
International audienceThe problem of test of fit for Vector AutoRegressive (VAR) processes with unco...
Box and Pierce (1970) proposed a test statistic TBP which is the squared sum of m sample autocorrela...
The large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...
The portmanteau statistic based on the first m residual autocorrelations is used for diagnostic chec...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
This paper obtains the joint limiting distribution of residuals and squared residuals of a general t...
CAPESThe class of beta autoregressive moving average (bARMA) models is useful for modeling time seri...
We derive Portmanteau tests for a large class of non-linear time series models. This is done by repl...
The ARMA-GARCH model has been commonly used in economics and finance. The portmanteau test based on ...
Autoregressive and moving-average (ARMA) models with stable Paretian errors are some of the most stu...
This thesis aims at investigating different forms of residuals from a general time series model with...
Several diagnostic tests for the lack of fit time series models have been introduced using parametri...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
International audienceThe problem of test of fit for Vector AutoRegressive (VAR) processes with unco...
Box and Pierce (1970) proposed a test statistic TBP which is the squared sum of m sample autocorrela...
The large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...
The portmanteau statistic based on the first m residual autocorrelations is used for diagnostic chec...