Record Details

On the Distribution of the Peña Rodríguez Portmanteau Statistic

Pakistan Journal of Statistics and Operation Research

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Field Value
 
Title On the Distribution of the Peña Rodríguez Portmanteau Statistic
 
Creator Provost, Serge B.; Department of Statistical and Actuarial Sciences
The University of Western Ontario
London, Ontario, Canada
Sanjel, Deepak; Department of Mathematics and Statistics
Minnesota State University
Mankato, Minnesota, U.S.A.
Sheng, Susan Z.; Department of Statistical and Actuarial Sciences
The University of Western Ontario
London, Ontario, Canada
 
Subject Statistics
Portmanteau test, Moments, Gamma approximation, Beta approximation, Symbolic computation.

 
Description 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.
 
Publisher College of Statistical and Actuarial Sciences
 
Contributor
 
Date 2012-07-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.pjsor.com/index.php/pjsor/article/view/517
10.18187/pjsor.v8i3.517
 
Source Pakistan Journal of Statistics and Operation Research; Vol 8. No. 3, 2012; 415-432
2220-5810
1816-2711
 
Language eng
 
Relation http://www.pjsor.com/index.php/pjsor/article/view/517/250