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Portmanteau tests based on quadratic forms in the autocorrelations

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  • Roberto Baragona
  • Francesco Battaglia
  • Domenico Cucina

Abstract

Many white noise and goodness-of-fit tests are (asymptotically) written as quadratic forms in the ordinary autocorrelation estimates. The properties of such tests are studied by investigating the structure of the matrix of the quadratic form. We suggest to choose the matrix of the quadratic form in such a way that the power is maximized according to the information available about the alternative hypothesis. A simulation study sheds some light on the behavior of the test in finite samples. It is generally found more powerful than the most popular portmanteau tests, i.e., the Box and Pierce and the Ljung and Box tests.

Suggested Citation

  • Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2018. "Portmanteau tests based on quadratic forms in the autocorrelations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(17), pages 4355-4374, September.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:17:p:4355-4374
    DOI: 10.1080/03610926.2017.1380829
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    Cited by:

    1. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2022. "Data-driven portmanteau tests for time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 675-698, September.

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