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Generalized Portmanteau Statistics and Tests of Randomness

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  • Dufour, J.M.
  • Roy, R.

Abstract

Ce Texte Considere le Probleme Qui Consiste a Tester le Caractere Aleatoire de Series Chronologiques Guassiennes et Non-Gaussiennes. Nous Definissons une Classe Generale de Statistiques "Portemanteau" Qui Inclut la Statistique de Box-Pierce et Celle de Ljung-Box. Utilisant les Premiers et Seconds Moments Exacts des Autocorrelations Echantillonnales Pour le Cas D'observations I.I.D. Normales, Nous Derivons L'esperance Mathematique Exacte de Toute Statistique Portemanteau Dans Ce Cas. Nous Etudions Deux Nouvelles Statistiques Portemanteau Qui Exploitent les Moments Exacts des Autocorrelations Echantillonnales. Pour le Cas Non-Gaussien, Nous Introduisons une Statistique Portemanteau de Rang. Cette Derniere a la Meme Distribution Pour Toutes les Series de Variables Aleatoires Interchangeables et Utilise les Moments Exacts des Autocorrelations de Rang. Nous Demontrons Que la Distribution Asymptotique de Cette Statistique Est Chi-Carre. Nous Presentons des Resultats de Simulation Qui Indiquent Que les Nouvelles Statistiques Portemanteau Ont des Distributions Qui Sont Mieux Approximees Par la Distribution Chi-Carre Asymptotique Que la Statistique de Ljung-Box. Nous Avons Obtenu Plusieurs de Nos Resultats Analytiques En Utilisant un Logiciel de Manipulation Symbolique.

Suggested Citation

  • Dufour, J.M. & Roy, R., 1985. "Generalized Portmanteau Statistics and Tests of Randomness," Cahiers de recherche 8540, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:8540
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    File URL: http://hdl.handle.net/1866/1511
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    Cited by:

    1. Andy Kwan & Ah-Boon Sim & Yangru Wu, 2005. "On the size and power of normalized autocorrelation coefficients," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 1-11.

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    Keywords

    Random Functions ; Correlation Analysis;

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