Portmanteau tests for ARMA models with infinite variance

DOI10.1111/J.1467-9892.2007.00572.XzbMATH Open1199.62012arXiv1611.01360OpenAlexW2154239282MaRDI QIDQ3552840FDOQ3552840

Authors: Jen-Wen Lin, A. Ian McLeod 

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: Autoregressive and moving-average (ARMA) models with stable Paretian errors is one of the most studied models for time series with infinite variance. Estimation methods for these models have been studied by many researchers but the problem of diagnostic checking fitted models has not been addressed. In this paper, we develop portmanteau tests for checking randomness of a time series with infinite variance and as a diagnostic tool for checking model adequacy of fitted ARMA models. It is assumed that least-squares or an asymptotically equivalent estimation method, such as Gaussian maximum likelihood in the case of AR models, is used. And it is assumed that the distribution of the innovations is IID stable Paretian. It is seen via simulation that the proposed portmanteau tests do not converge well to the corresponding limiting distributions for practical series length so a Monte-Carlo test is suggested. Simulation experiments show that the proposed test procedure works effectively. Two illustrative applications to actual data are provided to demonstrate that an incorrect conclusion may result if the usual portmanteau test based on the finite variance assumption is used.

Full work available at URL: https://arxiv.org/abs/1611.01360

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zbMATH Keywords

testing for randomnessstable Paretian distributiondiagnostic checksresidual autocorrelation function

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (15)

• Rank-based statistics for testing the whiteness hypothesis of time series
• Empirical likelihood-based portmanteau tests for autoregressive moving average models with possible infinite variance innovations
• On Sign Tests in ARMA Models with Possibly Infinite Error Variance
• Mixed causal-noncausal AR processes and the modelling of explosive bubbles
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• M-estimation for general ARMA processes with infinite variance
• Portmanteau test based on the ARFIMA-GARCH model
• A portmanteau test for ARMA processes with infinite variance
• Improved multivariate portmanteau test
• Trimmed portmanteau test for linear processes with infinite variance
• On model Fitting and estimation of strictly stationary processes
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
• Generalised portmanteau statistics and tests of randomness: A note on their applications to residuals from a fitted ARMA model
• Portmanteau test for randomness in poisson data
• Empirical processes for infinite variance autoregressive models

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