A powerful portmanteau test of lack of fit for time series

Journal of the American Statistical Association

Volumn 97, Issue 458, 2002, Pages 601-610

  Peña, Daniel ^a   Rodríguez, Julio ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

ARIMA model; Autocorrelation coefficient; Autocorrelation matrix; Goodness of fit; Heteroscedasticity model; Nonlinearity test; Partial autocorrelation

Indexed keywords

EID: 0035998832     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214502760047122     Document Type: Article

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