Goodness of fit tests and lasso variable selection in time series analysis
This thesis examines various aspects of time series and their applications. In the rst part, we study numerical and asymptotic properties of Box-Pierce family of portmanteau tests. We compare size and power properties of time series model diagnostic tests using their asymptotic c2 distribution and b...
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University of Nottingham
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.541186 |