This Working Paper presents some preliminary results for a new goodness-of- t method for VARMA(p,q) models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as...

It is well-known that if a random vector X is in the generalized domain of attraction of the multivariate normal law (GDAN), then all its components are in the domain of attraction of the normal law (DAN) and, moreover, the Euclidean inner products of X with all the nonrandom vectors of unit...

The coherence of a random matrix, which is defined to be the largest magnitude of the Pearson correlation coefficients between the columns of the random matrix, is an important quantity for a wide range of applications including high-dimensional statistics and signal processing. Inspired by...