• Title of article

    Diagnostic checking in linear processes with infinite variance

  • Author/Authors

    Krنmer، نويسنده , , W. and Runde، نويسنده , , R.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2001
  • Pages
    9
  • From page
    1123
  • To page
    1131
  • Abstract
    We consider empirical autocorrelations of residuals from finite variance autoregressive processes. Unike the finite-variance case, it emerges that the limiting distribution, after suitable normalization, is not always more concentrated around zero when residuals rather than the true innovations are employed.
  • Keywords
    stable distributions , Residual autocorrelation , ARMA-models.
  • Journal title
    Mathematical and Computer Modelling
  • Serial Year
    2001
  • Journal title
    Mathematical and Computer Modelling
  • Record number

    1592260

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1592260