Goodness of fit tests and lasso variable selection in time series analysis

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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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Bibliographic Details
Main Author:	Chand, Sohail
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2011
Subjects:	Goodness of fit tests Bootstrap methods Lasso Variable selection
Online Access:	https://eprints.nottingham.ac.uk/12019/

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