Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms

DOI10.1214/23-EJS2125arXiv1912.00013OpenAlexW2990293138MaRDI QIDQ6158216FDOQ6158216

Authors: Y. Boubacar Mainassara, Youssef Esstafa, Bruno Saussereau 

Publication date: 31 May 2023

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily independent (i.e. weak FARIMA). We first study the joint distribution of the least squares estimator and the noise empirical autocovariances. We then derive the asymp-totic distribution of residual empirical autocovariances and autocorrelations. We deduce the asymptotic distribution of the Ljung-Box (or Box-Pierce) modified portmanteau statistics for weak FARIMA models. We also propose another method based on a self-normalization approach to test the adequacy of FARIMA models. Finally some simulation studies are presented to corroborate our theoretical work. An application to the Standard & Poor's 500 and Nikkei returns also illustrate the practical relevance of our theoretical results. AMS 2000 subject classifications: Primary 62M10, 62F03, 62F05; secondary 91B84, 62P05.

Full work available at URL: https://arxiv.org/abs/1912.00013

zbMATH Keywords

self-normalizationleast squares estimatornonlinear processesresidual autocorrelationslong-memory processesweak FARIMA modelsBox-Pierce and Ljung-Box Portmanteau tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited In (3)

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• Diagnostic checking of Markov multiplicative error models
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