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B0490
Title: Modified portmanteau tests for ARMA models with dependent errors Authors:  Yacouba Boubacar Mainassara - Universite Bourgogne Franche-Comte (France) [presenting]
Abstract: The purpose is to derive the asymptotic distribution of residual autocovariances and autocorrelations of autoregressive moving-average (ARMA) models with uncorrelated but non-independent innovations. We then deduce modified portmanteau statistics and we establish the asymptotic distribution of the proposed statistics.