Mixed Portmanteau Test for Diagnostic Checking of Time Series Models

Joint Authors

Chand, Sohail
Kamal, Shahid

Source

Journal of Applied Mathematics

Issue

Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.

Publisher

Hindawi Publishing Corporation

Publication Date

2014-06-15

Country of Publication

Egypt

No. of Pages

8

Main Subjects

Mathematics

Abstract EN

Model criticism is an important stage of model building and thus goodness of fit tests provides a set of tools for diagnostic checking of the fitted model.

Several tests are suggested in literature for diagnostic checking.

These tests use autocorrelation or partial autocorrelation in the residuals to criticize the adequacy of fitted model.

The main idea underlying these portmanteau tests is to identify if there is any dependence structure which is yet unexplained by the fitted model.

In this paper, we suggest mixed portmanteau tests based on autocorrelation and partial autocorrelation functions of the residuals.

We derived the asymptotic distribution of the mixture test and studied its size and power using Monte Carlo simulations.

American Psychological Association (APA)

Chand, Sohail& Kamal, Shahid. 2014. Mixed Portmanteau Test for Diagnostic Checking of Time Series Models. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-480293

Modern Language Association (MLA)

Chand, Sohail& Kamal, Shahid. Mixed Portmanteau Test for Diagnostic Checking of Time Series Models. Journal of Applied Mathematics No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-480293

American Medical Association (AMA)

Chand, Sohail& Kamal, Shahid. Mixed Portmanteau Test for Diagnostic Checking of Time Series Models. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-480293

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references

Record ID

BIM-480293