Comparison of two modified portmanteau tests for model adequacy

DOI10.1016/0167-9473(92)90084-SMaRDI QIDQ2563579zbMATH OpenFDO

Authors Thian S. Kheoh, A. Ian McLeod

Publication date 10 November 1997

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

zbMATH Keywords

diagnostic checkingmultivariate portmanteau testempirical power and significance level comparisonLi-McLeod modified portmanteau testtesting for whiteness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• An Improvement of the Portmanteau Statistic
• Diagnostic testing of univariate time series models
• On multiple portmanteau tests
• scientific article; zbMATH DE number 5545439
• Systematic approach for portmanteau tests in view of the Whittle likelihood ratio

Cites work

• scientific article; zbMATH DE number 3858241 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3639008 (Why is no real title available?)
• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• Diagnostic testing of univariate time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Generalized portmanteau statistics and tests of randomness
• On a measure of lack of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• Some robust exact results on sample autocorrelations and tests of randomness
• TESTS OF FIT IN TIME SERIES
• The equivalence of two tests of time series model adequacy
• The existence of a non-negative solution of an ordinary differential equation arising in electromagnetic theory

Cited in

(7)

• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• 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
• On multiple portmanteau tests
• scientific article; zbMATH DE number 5545439 (Why is no real title available?)
• A spectral density test for whiteness

Describes a project that uses

Uses Software

• MINITAB
• SPSS
• SAS
• BMDP

This page was built for publication: Comparison of two modified portmanteau tests for model adequacy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2563579)