A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
作者： Xuexin Wang , Yixiao Sun
DOI: 10.1080/07350015.2020.1832505
关键词: Applied mathematics 、 Time series 、 Series (mathematics) 、 Uncorrelated 、 Portmanteau test 、 Parametric statistics 、 Simple (abstract algebra) 、 Mathematics 、 F-distribution
摘要: We propose a simple asymptotically F-distributed portmanteau test for diagnostically checking whether the innovations in parametric time series model are uncorrelated while allowing them to exhib...
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