Comparison of two modified portmanteau tests for model adequacy
DOI10.1016/0167-9473(92)90084-SzbMATH Open0875.62230MaRDI QIDQ2563579FDOQ2563579
Authors: Thian S. Kheoh, A. Ian McLeod 
Publication date: 10 November 1997
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
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diagnostic checkingmultivariate portmanteau testempirical power and significance level comparisonLi-McLeod modified portmanteau testtesting for whiteness
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
Cites Work
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- On a measure of lack of fit in time series models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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- Generalized portmanteau statistics and tests of randomness
- Diagnostic testing of univariate time series models
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- TESTS OF FIT IN TIME SERIES
- The existence of a non-negative solution of an ordinary differential equation arising in electromagnetic theory
- Significance levels of the Box-Pierce portmanteau statistic in finite samples
- The equivalence of two tests of time series model adequacy
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Cited In (7)
- Title not available (Why is that?)
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- On multiple portmanteau tests
- An Improvement of the Portmanteau Statistic
- On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
- A Test for Spectrum Flatness
- A spectral density test for whiteness
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