Significance levels of the Box-Pierce portmanteau statistic in finite samples

DOI10.1093/biomet/64.3.517zbMath0391.62066OpenAlexW2073698874MaRDI QIDQ4172825

Paul Newbold, Christopher M. Triggs, Neville Davies

Publication date: 1977

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/64.3.517

zbMATH Keywords

Box-Pierce Portmanteau StatisticChi Square ApproximationFinite SamplesSignificance LevelsStationary Autoregressive-Moving Average Process

Mathematics Subject Classification ID

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

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