2 papers
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.ST2012
Diagnostic Tests for Non-causal Time Series with Infinite Variance
Yunwei Cui, Rongning Wu, Thomas J. Fisher
We study goodness-of-fit testing for non-causal autoregressive time series with non-Gaussian stable noise. To model time series exhibiting sharp spikes or occasional bursts of outl…