Mixed Portmanteau Test for Diagnostic Checking of Time Series Models

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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Bibliographic Details
Main Authors: Sohail Chand, Shahid Kamal
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2014/545413
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spelling doaj-017cea63048a4d29a19eda39dc325cec2020-11-24T21:55:30ZengHindawi LimitedJournal 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
collection DOAJ
language English
format Article
sources DOAJ
author Sohail Chand
Shahid Kamal
spellingShingle Sohail Chand
Shahid Kamal
Mixed Portmanteau Test for Diagnostic Checking of Time Series Models
Journal of Applied Mathematics
author_facet Sohail Chand
Shahid Kamal
author_sort Sohail Chand
title Mixed Portmanteau Test for Diagnostic Checking of Time Series Models
title_short 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_sort mixed portmanteau test for diagnostic checking of time series models
publisher Hindawi Limited
series Journal of Applied Mathematics
issn 1110-757X
1687-0042
publishDate 2014-01-01
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.
url http://dx.doi.org/10.1155/2014/545413
work_keys_str_mv AT sohailchand mixedportmanteautestfordiagnosticcheckingoftimeseriesmodels
AT shahidkamal mixedportmanteautestfordiagnosticcheckingoftimeseriesmodels
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