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2014 Mixed Portmanteau Test for Diagnostic Checking of Time Series Models
Sohail Chand, Shahid Kamal
J. Appl. Math. 2014: 1-8 (2014). DOI: 10.1155/2014/545413

Abstract

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.

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Sohail Chand. Shahid Kamal. "Mixed Portmanteau Test for Diagnostic Checking of Time Series Models." J. Appl. Math. 2014 1 - 8, 2014. https://doi.org/10.1155/2014/545413

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07131680
MathSciNet: MR3226316
Digital Object Identifier: 10.1155/2014/545413

Rights: Copyright © 2014 Hindawi

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