Title of article
Trimmed portmanteau test for linear processes with infinite variance
Author/Authors
Lee، نويسنده , , Sangyeol and Tim Ng، نويسنده , , Chi، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2010
Pages
15
From page
984
To page
998
Abstract
In this article, we consider a model check test for linear processes with infinite variance. As a test statistic, we employ the portmanteau test with trimmed residuals. It is shown that the limiting null distribution of the test is a chi-square distribution. Simulation results are provided for illustration.
Keywords
Trimming method , Linear process with infinite variance , Asymptotic distribution , diagnostic test , Model check test , Portmanteau test
Journal title
Journal of Multivariate Analysis
Serial Year
2010
Journal title
Journal of Multivariate Analysis
Record number
1565404
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