Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms

29 Nov 2019Yacouba Boubacar MaïnassaraYoussef EsstafaBruno Saussereau

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). We first study the joint distribution of the least squares estimator and the noise empirical autocovariances... (read more)

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