Approximate power of portmanteau tests for time series
โ Scribed by Francesco Battaglia
- Publisher
- Elsevier Science
- Year
- 1990
- Tongue
- English
- Weight
- 409 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0167-7152
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๐ SIMILAR VOLUMES
In this paper we investigate performances of the test of multinormality introduced by Malkovich and Afifi. An approximation formula of the power of the test against elliptically symmetric distributions is derived. Examples which illustrate the present results are also discussed.
We present a family of tests to detect the presence of a transient mean in a simulation process. These tests compare variance estimators from different parts of a simulation run, and are based on the methods of batch means and standardized time series. Our tests can be viewed as natural generalizati