Some weighted mixed portmanteau tests for diagnostic checking in linear time series models

DOI10.1080/00949655.2018.1498094OpenAlexW2884968182WikidataQ129559370 ScholiaQ129559370MaRDI QIDQ4960736

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Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1498094

zbMATH Keywords

autocorrelationslinear time seriesportmanteau testpartial autocorrelationsdiagnostic check

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• itsmr

Cites Work

• Unnamed Item
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• Improved multivariate portmanteau test
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• On a measure of lack of fit in time series models
• Asymptotic Statistics
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• A proposal for a residual autocorrelation test in linear models
• Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• Introduction to Time Series and Forecasting
• New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing
• Mixed Portmanteau Tests for Time‐Series Models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification

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