Generalized Portmanteau Tests Based on Subspace Methods
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidad Nacional de Colombia
2013
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| _version_ | 1876426966042673152 |
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| author | Alfredo García-Hiernaux |
| author_facet | Alfredo García-Hiernaux |
| contents | Generalized Portmanteau Tests Based on Subspace Methods Alfredo García-Hiernaux Física, Astronomía y Matemáticas Residuals Portmanteau test Diagnostic checking Residual autocorrelation 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. 2013 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89929799003 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.36 |
| format | Artículo científico |
| id | redalyc_89929799003 |
| institution | Redalyc |
| language | en |
| publishDate | 2013 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | Generalized Portmanteau Tests Based on Subspace Methods Alfredo García-Hiernaux Física, Astronomía y Matemáticas Residuals Portmanteau test Diagnostic checking Residual autocorrelation Generalized Portmanteau Tests Based on Subspace Methods Alfredo García-Hiernaux Física, Astronomía y Matemáticas Residuals Portmanteau test Diagnostic checking Residual autocorrelation 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. 2013 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89929799003 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.36 |
| title | Generalized Portmanteau Tests Based on Subspace Methods |
| topic | Física, Astronomía y Matemáticas Residuals Portmanteau test Diagnostic checking Residual autocorrelation |
| url | https://www.redalyc.org/articulo.oa?id=89929799003 |