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: Sohail Chand, Shahid Kamal
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2014/545413
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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
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institution Kabale University
issn 1110-757X
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publishDate 2014-01-01
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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