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math.ST2016★ 21 cited
Portmanteau Tests for ARMA Models with Infinite Variance
Jen-Wen Lin, A. Ian McLeod
Autoregressive and moving-average (ARMA) models with stable Paretian errors is one of the most studied models for time series with infinite variance. Estimation methods for these m…
math.ST2016★ 41 cited
Improved Pena-Rodriguez Portmanteau Test
Jen-Wen Lin, A. Ian McLeod
Several problems with the diagnostic check suggested by Pena and Rodriguez [2002. A powerful portmanteau test of lack of fit for time series. J. Amer. Statist. Assoc. 97, 601-610.]…