Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
依赖误差下多元 ARMA 模型的诊断：标准化残差自相关方法
In this paper, we derive the asymptotic distribution of normalized residual empirical autocovariances and autocorrelations under weak assumptions on the noise. We propose new portmanteau statistics for vector autoregressive moving average models with uncorrelated but nonindependent innovations by using a self-normalization approach. We establish the asymptotic distribution of the proposed statistics. This asymptotic distribution is quite different from the usual chi-squared…