Search Results - subject:"Random weighting approach"

Bootstrapping the portmanteau tests in weak auto-regressive moving average models

Zhu, Ke - Volkswirtschaftliche Fakultät, … - 2015

This paper uses a random weighting (RW) method to bootstrap the critical values for the Ljung-Box/Monti portmanteau tests and weighted Ljung-Box/Monti portmanteau tests in weak ARMA models. Unlike the existing methods, no user-chosen parameter is needed to implement the RW method. As an...

Persistent link: https://www.econbiz.de/10011163524

LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises

Zhu, Ke; Ling, Shiqing - Volkswirtschaftliche Fakultät, … - 2014

weighting approach for statistical inference under this nonstandard case. We further propose a novel sign-based portmanteau test … this case. Since their asymptotic covariance matrices can not be estimated directly from the sample, we develop the random …

Persistent link: https://www.econbiz.de/10011108607