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Details van artikel 9 van 17 gevonden artikelen
| Titel: |
On the choice of the number of residual autocovariances for the portmanteau test of multivariate autoregressive models |
| Auteur: |
Bender, Ralf. Grouven, Ulrich. |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 22 (1993) nr. 1 pagina's 19-32 |
| Jaar: |
1993 |
| Inhoud: |
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 Pm from the asymptotic X2 distribution. 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. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 9 van 17 gevonden artikelen
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