Abstract
The asymptotic distribution of residual autocorrelations in multivariate autoregressive index models is derived. Generalization of the classical portmanteau statistic for checking model adequacy is discussed. Copyright © 1985 Oxford University Press on behalf of Biometrika Trust.
| Original language | English |
|---|---|
| Pages (from-to) | 686-688 |
| Journal | Biometrika |
| Volume | 72 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Dec 1985 |
Citation
Li, W. K. (1985). Distribution of residual autocorrelations in multivariate autoregressive index models. Biometrika, 72(3), 686-688. doi: 10.1093/biomet/72.3.686Keywords
- Index series
- Portmanteau statistic
- Residual autocorrelation