Improved Peňa-Rodriguez portmanteau test

DOI10.1016/j.csda.2006.06.010zbMath1157.62493arXiv1611.01351OpenAlexW2102856220MaRDI QIDQ1010524

A. Ian McLeod, Jen-Wen Lin

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.01351

zbMATH Keywords

Monte-Carlo testARMA residual diagnostic testImhof distributionportmanteau diagnostic check

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

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Uses Software

• bootlib

Cites Work

• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Finite sample properties and asymptotic efficiency of Monte Carlo tests
• On a measure of lack of fit in time series models
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• Computing the distribution of quadratic forms in normal variables
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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