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Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms

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  • Yacouba Boubacar Maïnassara
  • Abdoulkarim Ilmi Amir

Abstract

In this paper, we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving‐average models under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption on the error terms in order to extend the range of applications of the seasonal autoregressive moving‐average models. We study the asymptotic distributions of residual and normalized residual empirical autocovariances and autocorrelations under weak assumptions on noise. We establish the asymptotic behavior of the proposed statistics. A set of Monte Carlo experiments and an application to monthly mean total sunspot number are presented.

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  • Yacouba Boubacar Maïnassara & Abdoulkarim Ilmi Amir, 2019. "Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 73(4), pages 454-474, November.
    • Handle: RePEc:bla:stanee:v:73:y:2019:i:4:p:454-474
    DOI: 10.1111/stan.12178
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