A Comparative Study of Portmanteau Tests for Univariate Time Series Models

Sohail Chand, Shahid Kamal

Abstract


Time series model diagnostic checking is the most important stage of time series model building. In this paper the comparison among several suggested diagnostic tests has been made using the simulation time series data.

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DOI: http://dx.doi.org/10.1234/pjsor.v2i2.94

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Title

A Comparative Study of Portmanteau Tests for Univariate Time Series Models

Creator

Sohail Chand
Shahid Kamal

Subject

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Keywords

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Description

Time series model diagnostic checking is the most important stage of time series model building. In this paper the comparison among several suggested diagnostic tests has been made using the simulation time series data.

Publisher


Contributor

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Date

2006-07-01

Status

Peer-reviewed Article

Type

-

Format

PDF

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol 2. No. 2, July 2006

Language

-

Relation

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Coverage

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Rights

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Print ISSN: 1816-2711

Electronic ISSN: 2220-5810