Portmanteau Goodness-of-Fit Tests in the Presence of Simple, Mixed, and Multiple Seasonal Autocorrelation
简单、混合与多重季节自相关下的综合拟合优度检验
Standard diagnostic procedures for assessing the goodness of fit of linear models include tests of the null hypothesis of no residual autocorrelation against the alternative of linear dependence. The literature proposes several portmanteau tests for residual autocorrelation in SARMA models, mainly focusing on two cases: short-term and single-seasonal autocorrelation. Since many time series exhibit multiple seasonal patterns, whose periodic components may interact with one…