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math.ST2020
Bootstrapping a Powerful Mixed Portmanteau Test for Time Series
Esam Mahdi, Thomas J. Fisher
A new portmanteau test statistic is proposed for detecting nonlinearity in time series data. In this paper, we elaborate on the Toeplitz autocorrelation matrix to the autocorrelati…
math.ST2016★ 54 cited
Improved multivariate portmanteau test
Esam Mahdi, A. Ian McLeod
A new portmanteau diagnostic test for vector autoregressive moving average (VARMA) models that is based on the determinant of the standardized multivariate residual autocorrelation…