Trimmed portmanteau test for linear processes with infinite variance

Author:

Lee Sangyeol,Tim Ng Chi

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference13 articles.

1. Normal mixture quasi-maximum likelihood estimator for GARCH models;Lee;Scand. J. Statist.,2009

2. Distribution of residual autocorrelation in autoregressive integrated moving average time series models;Box;J. Amer. Statist. Asso.,1970

3. Diagnostic Checks in Time Series;Li,2004

4. Diagnostic test in unstable autoregressive models;Lee;Statistics,2007

5. The asymptotic null distribution of the Box-Pierce Q statistic for random variable with infinite variance;Runde;J. Econometrics,1997

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2. Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors;Journal of the Korean Statistical Society;2014-12

3. Diagnostic tests for non-causal time series with infinite variance;Journal of Statistical Planning and Inference;2014-04

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