Article ID Journal Published Year Pages File Type
1146184 Journal of Multivariate Analysis 2010 15 Pages PDF
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
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