The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series

DOI10.1016/j.jspi.2004.10.026zbMath1332.62302OpenAlexW2051360971MaRDI QIDQ2495838

Daniel Peña, Julio Rodríguez

Publication date: 30 June 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.10.026

zbMATH Keywords

partial autocorrelationARIMA modelautocorrelation coefficientsnonlinearity testheteroscedasticity model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (21)

Improved model selection criteria for SETAR time series models ⋮ Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models ⋮ Improved multivariate portmanteau test ⋮ ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT ⋮ Rank-based statistics for testing the whiteness hypothesis of time series ⋮ Diagnostic tests for non-causal time series with infinite variance ⋮ A note on spurious nonlinear regression ⋮ Generalized Covariance Estimator ⋮ Portmanteau tests for ARMA models with infinite variance ⋮ Portmanteau tests based on quadratic forms in the autocorrelations ⋮ New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing ⋮ Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations ⋮ Spectral domain diagnostics for testing model proximity and disparity in time series data ⋮ Kernel-based portmanteau diagnostic test for ARMA time series models ⋮ Some weighted mixed portmanteau tests for diagnostic checking in linear time series models ⋮ A Cauchy estimator test for autocorrelation ⋮ Testing serial correlations in high-dimensional time series via extreme value theory ⋮ Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models ⋮ Municipal Water Demand Forecasting: Tools for Intervention Time Series ⋮ Data-driven portmanteau tests for time series ⋮ A Cheap Trick to Improve the Power of a Conservative Hypothesis Test

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Goodness of fit tests for spectral distributions
• Characterization of the partial autocorrelation function
• Descriptive measures of multivariate scatter and linear dependence
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• A Tukey nonadditivity-type test for time series nonlinearity
• On a measure of lack of fit in time series models
• A GOODNESS-OF-FIT TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS
• A proposal for a residual autocorrelation test in linear models
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• Power Transformations to Induce Normality and their Applications
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification

This page was built for publication: The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series