We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic distribution of the proposed statistics. These asymptotic results are illustrated by Monte Carlo experiments. An application to a bivariate real financial data is also proposed.
翻译:我们建立了多元幂变换非对称模型类中残差平方自协方差和自相关函数的渐近行为。随后推导出一种Portmanteau检验方法,并确定了所提出统计量的渐近分布。这些渐近结果通过蒙特卡洛实验进行了验证。同时,本文还将该方法应用于二元真实金融数据的实证分析。