Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146184 | Journal of Multivariate Analysis | 2010 | 15 Pages |
Abstract
In this article, we consider a model check test for linear processes with infinite variance. As a test statistic, we employ the portmanteau test with trimmed residuals. It is shown that the limiting null distribution of the test is a chi-square distribution. Simulation results are provided for illustration.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Sangyeol Lee, Chi Tim Ng,