Generalized Portmanteau Tests Based on Subspace Methods
The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and their asymptotic distributions are derived under the null hypothesis. The procedures are devised to deal with univariate and multivariate processes, are flexible and able to s...
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| Format: | Article |
| Language: | English |
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Universidad Nacional de Colombia
2013-12-01
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| Series: | Revista Colombiana de Estadística |
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| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512013000200003&lng=en&tlng=en |