Non-Linear Portmanteau Tests

Erik Lindström, Jonas Ströjby, Stefan Ingi Adalbjörnsson

Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKonferenspaper i proceedingPeer review

1 Citering (SciVal)

Sammanfattning

We derive Portmanteau tests for a large class of non-linear time series models. This is done by replacing the linear measure of dependence (correlation) with a more general concept. Asymptotic distributions for the test statistics are derived. The methodology is computationally inexpensive, yet more flexible than most similar tests. The tests are evaluated on two different sets of simulated data.
Originalspråkengelska
Titel på värdpublikation[Host publication title missing]
Förlaghttp://www.ifac-papersonline.net/
Antal sidor6
StatusPublished - 2009
Evenemang15th IFAC Symposium on System Identification: SYSID 2009 - St Malo France, Saint-Malo, Frankrike
Varaktighet: 2009 juni 62009 juni 8
Konferensnummer: 15
http://www.sysid2009.org/

Publikationsserier

Namn
ISSN (tryckt)1474-6670

Konferens

Konferens15th IFAC Symposium on System Identification
Land/TerritoriumFrankrike
OrtSaint-Malo
Period2009/06/062009/06/08
Internetadress

Ämnesklassifikation (UKÄ)

  • Sannolikhetsteori och statistik

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