A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
From MaRDI portal
Publication:957120
DOI10.1016/j.csda.2004.01.003zbMath1429.62401OpenAlexW2123971949MaRDI QIDQ957120
Ah-Boon Sim, Andy C. C. Kwan, Yangru Wu
Publication date: 26 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2004.01.003
Related Items (5)
Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\) ⋮ On testing for serial correlation of unknown form using wavelet thresholding ⋮ Diagnostic Checking for GARCH-Type Models ⋮ Testing for white noise against locally stationary alternatives ⋮ On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
Cites Work
- Portmanteau tests of randomness and Jenkins' variance-stabilizing transformation
- Some robust exact results on sample autocorrelations and tests of randomness
- Corrigendum to: ``Some robust exact results on sample autocorrelations and tests of randomness
- Experience with using the Box-Cox transformation when forecasting economic time series
- Inference in a nearly integrated autoregressive model with nonnormal innovations
- The jackknife and the bootstrap for general stationary observations
- Tapered block bootstrap
- Generalized portmanteau statistics and tests of randomness
- On a measure of lack of fit in time series models
- Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model
- On the finite-sample distribution of modified portmanteau tests for radomness of a Gaussian time series
- A Powerful Portmanteau Test of Lack of Fit for Time Series
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Bootstrap tests for autocorrelation.
This page was built for publication: A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
