On multiple portmanteau tests

DOI10.1111/j.1467-9892.2009.00621.xzbMath1224.62062OpenAlexW2140128054MaRDI QIDQ3077660

Naoya Katayama

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2324/11012

zbMATH Keywords

goodness-of-fit testsmultiple testsautoregressive-moving average models: residual autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

The multiple testing problem for Box-Pierce statistics ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors ⋮ On multiple portmanteau tests ⋮ Mixed portmanteau test for diagnostic checking of time series models

Cites Work

• On Craig's theorem and its generalizations
• On multiple portmanteau tests
• An Improvement of the Portmanteau Statistic
• Diagnostic testing of univariate time series models
• On a measure of lack of fit in time series models
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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