A new look at portmanteau tests

Fumiya Akashi, Hiroaki Odashima, Masanobu Taniguchi, Anna Clara Monti

研究成果: Article査読

抄録

Portmanteau tests are some of the most commonly used statistical methods for model diagnostics. They can be applied in model checking either in the time series or in the regression context. The present paper proposes a portmanteau-type test, based on a sort of likelihood ratio statistic, useful to test general parametric hypotheses inherent to statistical models, which includes the classical portmanteau tests as special cases. Sufficient conditions for the statistic to be asymptotically chi-square distributed are elucidated in terms of the Fisher information matrix, and the results have very clear implications for the relationships between the parameter of interest and nuisance parameter. In addition, the power of the test is investigated when local alternative hypotheses are considered. Some interesting applications of the proposed test to various problems are illustrated, such as serial correlation tests where the proposed test is shown to be asymptotically equivalent to classical tests. Since portmanteau tests are widely used in many fields, it appears essential to elucidate the fundamental mechanism in a unified view.

本文言語English
ページ(範囲)121-137
ページ数17
ジャーナルSankhya: The Indian Journal of Statistics
80A
出版ステータスPublished - 2018

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

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