Journal of Time Series Analysis


Journal Article

Abstract. The problem of modelling time series driven by non‐Gaussian innovations is considered. The asymptotic normality of the maximum likelihood estimator is established under some general conditions. The distribution of the residual autocorrelations is also obtained. This gives rise to a potentially useful goodness‐of‐fit statistic. Applications of the results to two important cases are discussed. Two real examples are considered.

Related Topics

Related Publications

Related Content

Site Footer


This website is provided by John Wiley & Sons Limited, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ (Company No: 00641132, VAT No: 376766987)

Published features on are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.