Partial sums of lagged cross-products of AR residuals and a test for white noise
- Jan Gooijer
DOIAbstract
Brownian motion, Noncentral chi-square, Partial sums, Portmanteau diagnostic check, Time series, 62F03, 62M10,
Brownian motion, Noncentral chi-square, Partial sums, Portmanteau diagnostic check, Time series, 62F03, 62M10,
We generalize the cumulative sum of squares (CUSQ) test to the case of nonstation-ary autoregressive...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
We are interested in testing nonparametric hypotheses when the model of observation is given by the ...
Partial sums of lagged cross-products of AR residuals are defined. By studying the sample paths of t...
We investigate a data set describing the quality of a production process. By the information of thes...
We investigate a data set describing the quality of a production process. By the information of thes...
In practice, it is an important problem (especially in quality control) to secure that a known regre...
A new portmanteau test for time series more powerful than the tests ofLjung and Box (1978) and Monti...
A new portmanteau test for time series more powerful than the tests ofLjung and Box (1978) and Monti...
AbstractLimit processes for sequences of stochastic processes defined by partial sums of linear func...
We revisit classical asymptotics when testing for a structural break in linear regression models by ...
A new family of statistics is proposed to test for the presence of serial correlationin linear regre...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
Limit processes for sequences of stochastic processes defined by partial sums of linear functions of...
Most of the recent results on tests for non-correlation between two time series are based on the res...
We generalize the cumulative sum of squares (CUSQ) test to the case of nonstation-ary autoregressive...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
We are interested in testing nonparametric hypotheses when the model of observation is given by the ...
Partial sums of lagged cross-products of AR residuals are defined. By studying the sample paths of t...
We investigate a data set describing the quality of a production process. By the information of thes...
We investigate a data set describing the quality of a production process. By the information of thes...
In practice, it is an important problem (especially in quality control) to secure that a known regre...
A new portmanteau test for time series more powerful than the tests ofLjung and Box (1978) and Monti...
A new portmanteau test for time series more powerful than the tests ofLjung and Box (1978) and Monti...
AbstractLimit processes for sequences of stochastic processes defined by partial sums of linear func...
We revisit classical asymptotics when testing for a structural break in linear regression models by ...
A new family of statistics is proposed to test for the presence of serial correlationin linear regre...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
Limit processes for sequences of stochastic processes defined by partial sums of linear functions of...
Most of the recent results on tests for non-correlation between two time series are based on the res...
We generalize the cumulative sum of squares (CUSQ) test to the case of nonstation-ary autoregressive...
This paper first derives the limiting distributions of the residual and the squared residual autocor...
We are interested in testing nonparametric hypotheses when the model of observation is given by the ...
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