References
- Box GEP, Pierce DA. Distribution of residual autocorrelations in autoregressive integrated moving average series model. J Amer Statist Assoc. 1970;65:1509–1526. doi: 10.1080/01621459.1970.10481180
- Ljung GM, Box GEP. On a measure of lack of fit in time series models. Biometrika. 1978;65(2):297–303. doi: 10.1093/biomet/65.2.297
- Monti AC. A proposal for a residual autocorrelation test in linear models. Biometrika. 1994;81(4):776–780. doi: 10.1093/biomet/81.4.776
- Kwan ACC, Wu Y. Further results on the finite sample distribution of Monti's test for adequacy of an ARMA(p, q) model. Biometrika. 1997;84:733–736. doi: 10.1093/biomet/84.3.733
- Pena D, Rodriguez J. A powerful portmanteau test of lack of fit for time series. J Amer Statist Assoc. 2002;97(458):601–610. doi: 10.1198/016214502760047122
- Pena D, Rodriguez J. The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series. J Statist Plann Inference. 2006;136(8):2706–2718. doi: 10.1016/j.jspi.2004.10.026
- Lin JW, McLeod AI. Improved Pena–Rodriguez portmanteau test. Comput Data Anal Ser. 2006;51(3):1731–1738. doi: 10.1016/j.csda.2006.06.010
- Mahdi E, McLeod AI. Improved multivariate portmanteau test. J Time Ser Anal. 2012;33(2):211–222. doi: 10.1111/j.1467-9892.2011.00752.x
- Fisher TJ, Gallagher CM. New weighted portmanteau statistics for time series goodness of fit testing. J Amer Statist Assoc. 2012;107(498):777–787. doi: 10.1080/01621459.2012.688465
- Gallagher CM, Fisher TJ. On weighted portmanteau tests for time series goodness of fit. J Time Ser Anal. 2015;36:67–83. doi: 10.1111/jtsa.12093
- Chand S, Kamal S. Mixed portmanteau test for diagnostic checking of time series models. J Appl Math. 2014;2014:1–8. Article ID 545413. doi: 10.1155/2014/545413
- Wong H, Ling S. Mixed portmanteau tests for time series. J Time Ser Anal. 2005;26:569–579. doi: 10.1111/j.1467-9892.2005.00420.x
- Zhu K. A mixed portmanteau test for ARMA-GARCH models by the quasi- maximum exponential likelihood estimation approach. J Time Ser Anal. 2013;34:230–237. doi: 10.1111/jtsa.12007
- Li Y. On mixed portmanteau statistics for the diagnostic checking of time series models using Gaussian quasi-maximum likelihood approach [Unpublished MPhil thesis]. University of Hong Kong, Pokfulam, Hong Kong SAR. 2012.
- Gallagher CM, Fisher TJ. A comparison of various weighted portmanteau tests for time series goodness-of-fit: Technical report. Clemson University, Department of Mathematical Sciences; 2013.
- McLeod AI. On the distribution of residual autocorrelations in Box Jenkins models. J R Stat Soc Ser B. 1978;40:296–302.
- Tiao GC, Tsay RS. Consistency properties of least squares estimates of autoregressive parameters in ARMA models. Ann Statist. 1983;11(3):856–871. doi: 10.1214/aos/1176346252
- Li WK, Mak TK. On the squared residual autocorrelations in non linear time series with conditional heteroskedasticity. J Time Ser Anal. 1994;15(6):627–636. doi: 10.1111/j.1467-9892.1994.tb00217.x
- Li WK, Yu PLH. On the residual autocorrelation of the autoregressive conditional duration model. Econom Lett. 2003;79:169–175. doi: 10.1016/S0165-1765(02)00303-8
- Van der Vart AW. Asymptotic statistics. Cambridge: Cambridge University Press; 1998.
- Box GEP. Some theorems on quadratic forms applied in the study of analysis of variance problems I: effect of the inequality of variance in the one-way classification. Ann Math Statist. 1954;25:290–302. doi: 10.1214/aoms/1177728786
- Brockwell PJ, Davis RA. Introduction to time series and forecasting. 2nd ed. New York: Springer-Verlag; 2002. (Springer Texts in Statistics).