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Found 5 papers, 0 papers with code
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily independent (i. e. weak FARIMA).
Estimating FARIMA models with uncorrelated but non-independent error terms
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of fractionally integrated autoregressive moving-average (FARIMA) models under the assumption that the errors are uncorrelated but not necessarily independent nor martingale differences.
Applications Statistics Theory Statistics Theory
Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but non-independent error terms
In this paper we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving-average (SARMA) models under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption on the error term in order to extend the range of application of the SARMA models. We study the asymptotic distributions of residual and normalized residual empirical autocovariances and autocorrelations underweak assumptions on the noise.
Estimation of multivariate asymmetric power GARCH models
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns. We suggest a new class of multivariate power transformed asymmetric models.
Portmanteau test for the asymmetric power GARCH model when the power is unknown
It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect.
