Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) $\operatorname{AR}(p)$ model based on Laplace(a,b) $\operatorname{Laplace}(a,b)$ [PDF]
Journal of Inequalities and Applications, 2018 The paper studies the estimation and the portmanteau test for double AR(p) $\operatorname{AR}(p)$ model with Laplace(a,b) $\operatorname{Laplace}(a,b)$ distribution.
Haiyan Xuan +4 more
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Portmanteau Test for ARCH-Type Models by Using High-Frequency Data
AxiomsThe portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH ...
Chen Yanshan, Chunliang Deng
exaly +3 more sources
An Application of Markov Switching Models in Predicting Visceral Leishmaniasis in Ardabil Province, Iran [PDF]
Journal of Health Sciences and Surveillance System, 2023 Background: Visceral leishmaniasis (VL) is a neglected infection currently occurring in some regions of Europe, Asia, Africa, and America. This study was an attempt to determine the temporal patterns of VL from January 2000 to December 2019 in the ...
Vahid Rahmanian +3 more
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Investigating the Effect of Government Financing Methods on Economic Growth in Iran: Markov-Switching (MS) Approach [PDF]
سیاستگذاری اقتصادی, 2022 Introduction: It is important to note that the effects of different methods of government financing (such as taxes, borrowing, selling natural resources, etc.) are not the same in the economy, and these different methods can affect macroeconomic ...
Jalal Montazeri Shoorekchali
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Time-varying long-term Memory in the Tehran Stock Exchange: the Generalized Hurst Exponents and the Rolling Window Approach [PDF]
Journal of Asset Management and Financing, 2020 Objective: This study is the first to examine the issue of time-varying long-term memory in the Tehran Stock Exchange, using a new efficiency index through a rolling window technique.
elham farzanegan
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Testing network autocorrelation without replicates.
PLoS ONE, 2022 In this paper, we propose a portmanteau test for whether a graph-structured network dataset without replicates exhibits autocorrelation across units connected by edges. Specifically, the well known Ljung-Box test for serial autocorrelation of time series
Kwun Chuen Gary Chan +3 more
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A Novel Correction for the Adjusted Box-Pierce Test
Frontiers in Applied Mathematics and Statistics, 2022 The classical Box-Pierce and Ljung-Box tests for auto-correlation of residuals possess severe deviations from nominal type I error rates. Previous studies have attempted to address this issue by either revising existing tests or designing new techniques.
Sidy Danioko +4 more
doaj +1 more source
Comparison of Some Portmanteau Tests by Using Simulation [PDF]
المجلة العراقية للعلوم الاحصائية, 2012 Passing the chosen diagnosed candidate model is considered an employed modeled gate and the possibility of data presentation to be used in prediction and control.
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Financial Innovation, 2021 This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude oil.
Majid Mirzaee Ghazani +1 more
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Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models
Austrian Journal of Statistics, 2016 The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wide class of asymmetric GARCH models. Portmanteau adequacy tests are deduced.
Michel Carbon, Christian Francq
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