A new goodness-of-fit process for varma (p,q) models: construction and empirical properties Working Papers uri icon

publication date

  • 2013

series title

  • Statistics and Econometrics Series

series number

  • 13-21

subjects

  • Statistics

keywords

  • brownian bridge; error sample correlation matrix; goodness-of-fit process; model selection; varma(p;q) models; weak convergence