Mixed Portmanteau Test for Diagnostic Checking of Time Series Models
Joint Authors
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
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