Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors-Reference-Cited by-同舟云学术

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Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors

Published:2010-09-30 Issue:7 Volume:38 Page:1509-1531
ISSN:0266-4763
Container-title:Journal of Applied Statistics
language:en
Short-container-title:Journal of Applied Statistics

Author:

Lin Jin-Guan¹,Zhu Li-Xing²,Cao Chun-Zheng¹³,Li Yong⁴

Affiliation:

1. a Department of Mathematics , Southeast University , Nanjing, 210096, People's Republic of China

2. b Department of Mathematics , Hong Kong Baptist University , People's Republic of China

3. c College of Math & Physics , University of Information Science & Technology , Nanjing, 210044, People's Republic of China

4. d School of Business , Sun Yat-Sen University , Guangzhou, 510275, People's Republic of China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/02664763.2010.515301

Reference35 articles.

1. Modelling Variance Heterogeneity in Normal Regression Using GLIM

2. Robust Diagnostic Regression Analysis

3. Bartlett corrections in heteroskedastic t regression models

4. Time Series: Theory and Methods

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