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On the choice of the number of residual autocovariances for the portmanteau test of multivariate autoregressive models

 

作者: Ralf. Bender,   Ulrich. Grouven,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1993)
卷期: Volume 22, issue 1  

页码: 19-32

 

ISSN:0361-0918

 

年代: 1993

 

DOI:10.1080/03610919308813079

 

出版商: Marcel Dekker, Inc.

 

关键词: multivariate autoregressive model;time series model checking;portmanteau test;number of residual autocovariances;simulation

 

数据来源: Taylor

 

摘要:

The multivariate portmanteau test proposed by Hosking (1980) for testing the adequacy of an autoregressive moving average model is based on the first s residual autocovariances of the fitted model.In practice a value for s is chosen in dependence on the sample size n, mostly s = 20 for n between 50 and 200. In this paper it will be shown by simulations that the usual choiceof s = 20 oftenleads to a significant deviation of the sample distribution of the test statistic Pmfrom the asymptotic X2distribution. In the case of pure multivariate AR models the Kolmogorow-Smirnow test is used to find those values of s for which the sample distribution shows the best agreement with X2.In this manner s depends not only on the sample size n but also on the order of themodel p and the dimension m. A table for the best choice of s is given for n between 100 and 1000,p between 1 and 5 and m between 1 and 12.

 

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