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Monti 的 ARMA 模型适合性综合检验有限样本分布的进一步结果AI 解读

This note investigates the finite-sample performance of Monti's test, paying special attention to its estimated sizes and empirical powers. Our simulation results indicate that (i) the test size can be affected by the choice of the number of residual partial autocorrelations, m, and (ii) the empirical powers of the Monti and the Ljung-Box tests are similar in the cases of both seasonal and nonseasonal data if m is properly chosen.

高斯时间序列随机性修正综合检验的有限样本分布AI 解读

This paper proposes three modified portmanteau tests based on the applications of the Fisher (1921) and Hotelling (1953) transformations to sample autocorrelations. The test statistics are asymptotically chi-square. Our simulation results indicate that the empirical significance levels of the proposed tests are more reliable than the portmanteau tests of Box & Pierce (1970), Ljung & Box (1978) and Dufour & Roy (1986) when the sample size is small (15 ≤ n ≤ 40) and the number…