Distribution of residual autocorrelations in multivariate autoregressive index models

Research output: Contribution to journalArticles

4 Citations (Scopus)

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 languageEnglish
Pages (from-to)686-688
JournalBiometrika
Volume72
Issue number3
DOIs
Publication statusPublished - 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/72.3.686

Keywords

  • Index series
  • Portmanteau statistic
  • Residual autocorrelation

Fingerprint Dive into the research topics of 'Distribution of residual autocorrelations in multivariate autoregressive index models'. Together they form a unique fingerprint.