Approximate power of portmanteau tests for time series
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference9 articles.
1. The Statistical Analysis of Time Series;Anderson,1971
2. Distribution of residual autocorrelations in autoregressive-integrated moving average time series models;Box;J. Amer. Statist. Assoc.,1970
3. Some power studies of a portmanteau test of time series model specification;Davies;Biometrika,1979
4. Significance levels of the Box—Pierce portmanteau statistic in finite samples;Davies;Biometrika,1977
5. Generalized portmanteau statistics and tests of randomness;Dufour;Comm. Statist. A—Theory Methods,1986
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3. Portmanteau test and simultaneous inference for serial covariances;Statistica Sinica;2014
4. The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series;Journal of Statistical Planning and Inference;2006-08
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