Portmanteau tests based on quadratic forms in the autocorrelations

被引：1

作者：

Baragona, Roberto ^{[1
]}

Battaglia, Francesco ^{[1
]}

Cucina, Domenico ^{[2
]}

机构：

[1] Univ Roma La Sapienza, Dipartimento Sci Stat, Rome, Italy

[2] Univ Salerno, Dipartimento Econ & Stat, Via Giovanni Paolo 2,132, I-84084 Fisciano, SA, Italy

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2018年 / 47卷 / 17期

关键词：

goodness-of-fit tests; time series; white noise tests; 62M10; GOODNESS-OF-FIT; TIME-SERIES MODELS;

D O I：

10.1080/03610926.2017.1380829

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Many white noise and goodness-of-fit tests are (asymptotically) written as quadratic forms in the ordinary autocorrelation estimates. The properties of such tests are studied by investigating the structure of the matrix of the quadratic form. We suggest to choose the matrix of the quadratic form in such a way that the power is maximized according to the information available about the alternative hypothesis. A simulation study sheds some light on the behavior of the test in finite samples. It is generally found more powerful than the most popular portmanteau tests, i.e., the Box and Pierce and the Ljung and Box tests.

引用

页码：4355 / 4374

页数：20

共 28 条

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