PORTMANTEAU TEST FOR CONDITIONAL HETEROSCEDASTICITY, USING RANKS OF SQUARED RESIDUALS

被引：4

作者：

WONG, H

LI, WK

机构：

[1] HONG KONG POLYTECH,DEPT MATH APPL,KOWLOON,HONG KONG

[2] UNIV HONG KONG,DEPT STAT,HONG KONG,HONG KONG

来源：

JOURNAL OF APPLIED STATISTICS | 1995年 / 22卷 / 01期

关键词：

D O I：

10.1080/757584402

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Squared residual autocorrelations have been found useful in detecting departures from linearity in time series models. This is especially the case with data exhibiting heterogeneity in variances. A rank test is proposed which is much more robust than its parametric counterpart.

引用

页码：121 / 134

页数：14

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