A simple portmanteau test with data-driven truncation point
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00180-022-01320-6.pdf
Reference20 articles.
1. Anderson TW, Walker AM (1964) On the asymptotic distributions of the autocorrelations of a sample from a linear stochastic process. Ann Math Stat 35:1296–1303
2. Baragona R, Battaglia F, Cucina D (2022) Data-driven portmanteau tests for time series. TEST 31:675–698
3. Box GEP, Pierce DA (1970) Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. J Am Stat Assoc 65:1509–1526
4. Coffrey CS, Muller KE (2000) Properties of doubly-truncated gamma variables. Commun Stat Theory Meth 29:851–857
5. Deo RS (2000) Spectral tests of the martingale hypothesis under conditional heteroscedasticity. J Econom 99:291–315
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