The multiple testing problem for Box-Pierce statistics

DOI10.1214/14-EJS892MaRDI QIDQ2452104zbMATH OpenOpenAlexFDO

Authors Tucker S. McElroy, Brian Monsell

Publication date 30 May 2014

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1399901042

zbMATH Keywords

ARIMA modelsLjung-Box statistictime series residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Paired and multiple comparisons; multiple testing (62J15)

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Cites work

• scientific article; zbMATH DE number 3633585 (Why is no real title available?)
• scientific article; zbMATH DE number 1446720 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• A local spectral approach for assessing time series model misspecification
• A proposal for a residual autocorrelation test in linear models
• An Improvement of the Portmanteau Statistic
• An exponential model for the spectrum of a scalar time series
• Asymptotic theory of statistical inference for time series
• Computing the distribution of quadratic forms in normal variables
• Diagnostic testing of univariate time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model
• On a measure of lack of fit in time series models
• On multiple portmanteau tests
• On the distribution of positive-definite Gaussian quadratic forms
• On the distribution of the sample autocorrelation coefficients
• On the finite-sample distribution of modified portmanteau tests for radomness of a Gaussian time series
• Statistical Properties of Model-Based Signal Extraction Diagnostic Tests
• The multiple testing problem for Box-Pierce statistics
• Time series: theory and methods.
• Two-Sample Repeated Significance Tests Based on the Modified Wilcoxon Statistic

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• The multiple testing problem for Box-Pierce statistics

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