Lagrange-Multiplier Tests of Multivariate Time-Series Models
将拉格朗日乘子检验推广到多元自回归移动平均时间序列模型，推导出多元过程的混合检验和Quenouille拟合优度检验，并得到多元移动平均模型的三种新检验。
SUMMARY Generalizing Hosking (1980a), the Lagrange-multiplier test procedure is applied to hypotheses concerning multivariate autoregressive moving-average time-series models. The portmanteau and Quenouille goodness-of-fit tests for multivariate processes are derived in this manner and three other tests are obtained for multivariate moving-average models.