# Improved multivariate portmanteau test

@article{Mahdi2012ImprovedMP, title={Improved multivariate portmanteau test}, author={Esam Mahdi and A. Ian McLeod}, journal={Journal of Time Series Analysis}, year={2012}, volume={33} }

A new portmanteau diagnostic test for vector autoregressive moving average (VARMA) models that is based on the determinant of the standardized multivariate residual autocorrelations is derived. The new test statistic may be considered an extension of the univariate portmanteau test statistic suggested by Peňa and Rodríguez (2002) . The asymptotic distribution of the test statistic is derived as well as a chi‐square approximation. However, the Monte–Carlo test is recommended unless the series is…

## 64 Citations

Kernel-based portmanteau diagnostic test for ARMA time series models

- Mathematics
- 2017

In this paper, the definition of the Toeplitz autocorrelation matrix is used to derive a kernel-based portmanteau test statistic for ARMA models. Under the null hypothesis of no serial correlation,…

A Powerful Portmanteau Test for Detecting Nonlinearity in Time Series

- Mathematics
- 2020

A new portmanteau test statistic is proposed for detecting nonlinearity in time series data. In this paper, we elaborate on the Toeplitz autocorrelation matrix to the autocorrelation and…

Advances in Portmanteau Diagnostic Tests

- Mathematics
- 2016

Portmanteau test serves an important role in model diagnostics for Box-Jenkins Modelling procedures. A large number of portmanteau test based on the autocorrelation function are proposed for a…

portes: An R Package for Portmanteau Tests in Time Series Models

- Mathematics
- 2020

The asymptotic distributions and the Monte Carlo procedures of the most popular univariate and multivariate portmanteau test statistics, including a new generalized variance statistic, are implemented in the R package portes with extensive illustrative applications.

A Cauchy estimator test for autocorrelation

- Mathematics
- 2015

This article presents a new test for serial correlation in an observed stationary time series. Rather than using the traditional portmanteau tests based on the sample autocorrelation function, we…

Comparative study of portmanteau tests for the residuals autocorrelation in ARMA models

- Mathematics
- 2014

The portmanteau statistic for testing the adequacy of an autoregressive moving average (ARMA) model is based on the first m autocorrelations of the residuals from the fitted model. We consider some…

ON WEIGHTED PORTMANTEAU TESTS FOR TIME‐SERIES GOODNESS‐OF‐FIT

- Mathematics
- 2015

Recent work in the literature has shown weighted variants of the classic portmanteau test for time series can be more powerful in many situations. In this article, we study the asymptotic…

Some weighted mixed portmanteau tests for diagnostic checking in linear time series models

- Computer ScienceJournal of Statistical Computation and Simulation
- 2018

It is found that the weighted mixed tests outperform when higher order ARMA models are fitted and diagnostic checks are performed via testing lack of residual autocorrelations.

Improved functional portmanteau tests

- MathematicsJournal of Statistical Computation and Simulation
- 2019

ABSTRACT Functional time series is a popular method of forecasting in functional data analysis. The Box-Jenkins methodology for model building, with the aim of forecasting, includes three iterative…

New Goodness-of-Fit Tests for Time Series Models

- Mathematics
- 2020

This article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals,…

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