Diagnostic Checks in Time Series

85 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Break detection in the covariance structure of multivariate time series models (2009, background): “Manifold estimation procedures are well-developed and tests assessing the struc tural stability and the goodness of fit are widely available (see, among many others, [9, 16, 18, 39, 40, 48] and the references therein).”
Testing for high-dimensional white noise using maximum cross-correlations (2016, methodology): “We compare the new tests Tn and T ∗ n with three multivariate portmanteau tests with test statistics: Q1 = n ∑K k=1 tr{Γ̂(k)Γ̂(k)} (Box & Pierce, 1970), Q2 = n2 ∑K k=1 tr{Γ̂(k)Γ̂(k)}/(n− k) (Hosking, 1980), and Q3 = n ∑K k=1 tr{Γ̂(k)Γ̂(k)}+ p2K(K + 1)/(2n) (Li & Mcleod, 1981), where Γ̂(k) is the sam”