Generalized Portmanteau Tests Based on Subspace Methods

被引：0
|
作者：
Garcia-Hiernaux, Alfredo [1 ]
机构：
[1] Univ Complutense Madrid, Quantitat Econ Dept, E-28040 Madrid, Spain
来源：
REVISTA COLOMBIANA DE ESTADISTICA | 2013年 / 36卷 / 02期
关键词：
Diagnostic checking; Portmanteau test; Residual autocorrelation; Residuals;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and their asymptotic distributions are derived under the null hypothesis. The procedures are devised to deal with univariate and multivariate processes, are flexible and able to separately check regular and seasonal correlations. The performance in finite samples of the proposals is illustrated via Monte Carlo simulations and two examples with real data.
引用
收藏
页码：223 / 238
页数：16
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