Testing for serial independence in vector autoregressive models-Reference-Cited by-同舟云学术

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Testing for serial independence in vector autoregressive models

Published:2018-09-07 Issue:4 Volume:59 Page:1379-1410
ISSN:0932-5026
Container-title:Statistical Papers
language:en
Short-container-title:Stat Papers

Author:

Meintanis Simos G.,Ngatchou-Wandji Joseph,Allison James

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s00362-018-1039-4/fulltext.html

Reference37 articles.

1. Ahlgren N, Catani P (2017) Wild bootstrap tests for autocorrelation in vector autoregressive models. Stat. Pap. 58:1189–1216

2. Bilodeau M, Lafaye de Micheaux P (2005) A multivariate empirical characteristic function test of independence with normal marginals. J. Multivar. Anal. 95:345–369

3. Bouhaddioui C, Roy R (2006) A generalized portmanteau test for independence of two infinite-order vector autoregressive series. J. Time Ser. Anal. 27:505–544

4. Box GEP, Jenkins GM (1970) Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco

5. Brockwell PJ, Davis RA (1986) Time Series: Theory and Methods. Springer, New York

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2. On the vector-valued generalized autoregressive models;Journal of Statistical Computation and Simulation;2023-03-19

3. New classes of tests for the Weibull distribution using Stein’s method in the presence of random right censoring;Computational Statistics;2022-01-09

4. Computationally efficient approximations for independence tests in non-parametric regression;Journal of Statistical Computation and Simulation;2020-11-12

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