Kernel-based portmanteau diagnostic test for ARMA time series models
نویسندگان
چکیده
منابع مشابه
Kernel-based portmanteau diagnostic test for ARMA time series models
In this paper, the definition of the Toeplitz autocorrelation matrix is used to derive a kernel-based portmanteau test statistic for ARMA models. Under the null hypothesis of no serial correlation, the distribution of the test statistic is approximated by a standard normal using the kernel-based normalized spectral density estimator, without having to specify any alternative model. Unlike most ...
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ژورنال
عنوان ژورنال: Cogent Mathematics
سال: 2017
ISSN: 2331-1835
DOI: 10.1080/23311835.2017.1296327