An Improvement of the Portmanteau Statistic

DOI10.1111/J.1467-9892.2007.00559.XMaRDI QIDQ3608201zbMATH OpenOpenAlexFDO

Authors Naoya Katayama

Publication date 28 February 2009

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00559.x

zbMATH Keywords

goodness-of-fitportmanteau testresidual autocorrelationsautoregressive-moving average modeltime series model checking

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• On multiple portmanteau tests
• Diagnostic testing of univariate time series models
• On portmanteau goodness-of-fit tests in robust time series modelling
• The portmanteau tests and the LM test for ARMA models with uncorrelated errors
• Comparison of two modified portmanteau tests for model adequacy

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 2109191 (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

Cited in

(17)

• Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
• A simple portmanteau test with data-driven truncation point
• Mixed portmanteau test for diagnostic checking of time series models
• On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and \(\{2\}\)-inverses
• The multiple testing problem for Box-Pierce statistics
• Systematic approach for portmanteau tests in view of the Whittle likelihood ratio
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• On multiple portmanteau tests
• scientific article; zbMATH DE number 3942794 (Why is no real title available?)
• The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models
• Some corrections of the score test statistic for Gaussian ARMA models
• Generalised portmanteau statistics and tests of randomness: A note on their applications to residuals from a fitted ARMA model
• A goodness-of-fit process for ARMA(p,q) models based on a modified residual autocorrelation sequence
• Diagnostic testing of univariate time series models
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
• Kernel-based portmanteau diagnostic test for ARMA time series models
• On portmanteau goodness-of-fit tests in robust time series modelling

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