The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series

Journal of Statistical Planning and Inference

Volumn 136, Issue 8, 2006, Pages 2706-2718

  Peña, Daniel ^a   Rodríguez, Julio ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b UNIVERSIDAD POLITÉCNICA DE MADRID   (Spain)

Author keywords

ARIMA model; Autocorrelation coefficients; Heteroscedasticity model; Nonlinearity test; Partial autocorrelation

Indexed keywords

EID: 33645912361     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2004.10.026     Document Type: Article

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