Author(s): Serge B. Provost | Deepak Sanjel | Susan Z. Sheng
Journal: Pakistan Journal of Statistics and Operation Research
ISSN 1816-2711
Volume: 8;
Issue: 3;
Date: 2012;
Original page
Keywords: Portmanteau test | Moments | Gamma approximation | Beta approximation | Symbolic computation.
ABSTRACT
Peña and Rodríguez (2002) introduced a portmanteau test for time series which turns out to be more powerful than those proposed by Ljung and Box (1986) and Monti (1994), and approximated its distribution by means of a two-parameter gamma random variable. A polynomially adjusted beta approximation is proposed in this paper. This approximant is based on the moments of the statistic, which can be estimated by simulation or determined by symbolic computations or numerical integration. Various types of time series processes such as AR(1), MA(1), ARMA(2,2) are being considered. The proposed approximation turns out to be nearly exact.
Journal: Pakistan Journal of Statistics and Operation Research
ISSN 1816-2711
Volume: 8;
Issue: 3;
Date: 2012;
Original page
Keywords: Portmanteau test | Moments | Gamma approximation | Beta approximation | Symbolic computation.
ABSTRACT
Peña and Rodríguez (2002) introduced a portmanteau test for time series which turns out to be more powerful than those proposed by Ljung and Box (1986) and Monti (1994), and approximated its distribution by means of a two-parameter gamma random variable. A polynomially adjusted beta approximation is proposed in this paper. This approximant is based on the moments of the statistic, which can be estimated by simulation or determined by symbolic computations or numerical integration. Various types of time series processes such as AR(1), MA(1), ARMA(2,2) are being considered. The proposed approximation turns out to be nearly exact.