Bootstrapping a powerful mixed portmanteau test for time series
نویسندگان
چکیده
منابع مشابه
Mixed Portmanteau Tests for Time-series Models
This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply approximated by the sum of well-known portmanteau statistics. The finite-sample performance of the new test...
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ژورنال
عنوان ژورنال: Journal of Applied Statistics
سال: 2022
ISSN: ['1360-0532', '0266-4763']
DOI: https://doi.org/10.1080/02664763.2022.2121384