Portmanteau tests of randomness and Jenkins' variance-stabilizing transformation

DOI10.1016/0165-1765(95)00710-5MaRDI QIDQ672767zbMATH OpenOpenAlexFDO

Authors Andy C. C. Kwan, A. Sim

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00710-5

zbMATH Keywords

portmanteau testsrandomnessJenkins' variance-stabilizing transformationsample autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Generalized portmanteau statistics and tests of randomness
• Portmanteau tests for ARMA models with infinite variance
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• On the power of Portmanteau serial correlation tests
• A new look at portmanteau tests

Cites work

• scientific article; zbMATH DE number 3124374 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• An angular transformation for the serial correlation coefficient
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Generalized portmanteau statistics and tests of randomness
• On a measure of lack of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples

Cited in

(5)

• Generalized portmanteau statistics and tests of randomness
• Goodness-of-fit tests for \(\beta\)ARMA hydrological time series modeling
• A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
• Portmanteau test for randomness in poisson data
• Detecting randomness: a review of existing tests with new comparisons

This page was built for publication: Portmanteau tests of randomness and Jenkins' variance-stabilizing transformation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q672767)