Mixed Portmanteau Test for Diagnostic Checking of Time Series Models
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 t...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/545413 |
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| _version_ | 1832553235805634560 |
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| author | Sohail Chand Shahid Kamal |
| author_facet | Sohail Chand Shahid Kamal |
| author_sort | Sohail Chand |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-017cea63048a4d29a19eda39dc325cec |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-017cea63048a4d29a19eda39dc325cec2025-02-03T05:54:27ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/545413545413Mixed Portmanteau Test for Diagnostic Checking of Time Series ModelsSohail Chand0Shahid Kamal1College of Statistical and Actuarial Sciences, University of the Punjab, Lahore, PakistanCollege of Statistical and Actuarial Sciences, University of the Punjab, Lahore, PakistanModel 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.http://dx.doi.org/10.1155/2014/545413 |
| spellingShingle | Sohail Chand Shahid Kamal Mixed Portmanteau Test for Diagnostic Checking of Time Series Models Journal of Applied Mathematics |
| title | Mixed Portmanteau Test for Diagnostic Checking of Time Series Models |
| title_full | Mixed Portmanteau Test for Diagnostic Checking of Time Series Models |
| title_fullStr | Mixed Portmanteau Test for Diagnostic Checking of Time Series Models |
| title_full_unstemmed | Mixed Portmanteau Test for Diagnostic Checking of Time Series Models |
| title_short | Mixed Portmanteau Test for Diagnostic Checking of Time Series Models |
| title_sort | mixed portmanteau test for diagnostic checking of time series models |
| url | http://dx.doi.org/10.1155/2014/545413 |
| work_keys_str_mv | AT sohailchand mixedportmanteautestfordiagnosticcheckingoftimeseriesmodels AT shahidkamal mixedportmanteautestfordiagnosticcheckingoftimeseriesmodels |