An Improvement of the Portmanteau Statistic

DOI10.1111/J.1467-9892.2007.00559.XzbMATH Open1165.62067OpenAlexW2158818083MaRDI QIDQ3608201FDOQ3608201

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

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

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Diagnostic testing of univariate time series models

Cited In (12)

• 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
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• On multiple portmanteau tests
• Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors
• Title not available (Why is that?)
• The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models
• A goodness-of-fit process for ARMA(\(p\),\(q\)) models based on a modified residual autocorrelation sequence
• Diagnostic testing of univariate time series models
• On portmanteau goodness-of-fit tests in robust time series modelling

This page was built for publication: An Improvement of the Portmanteau Statistic

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3608201)