Titlebook: Diagnostic Methods in Time Series; Fumiya Akashi,Masanobu Taniguchi,Tomoyuki Amano Book 2021 The Author(s), under exclusive license to Spr

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https://doi.org/10.1007/978-1-4939-6506-9tic processes. This relies on the asymptotic theory for higher order asymptotics, Bartlett adjustment, empirical likelihood method, asymptotic efficiency, robustness, etc. For these problems, some useful fundamentals and tools will be given. Throughout this book, we denote by ., ., and ., the set of

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https://doi.org/10.1007/978-1-4419-7085-5near adjustment is provided for them which greatly improves the . approximation to their distribution and allows a subsequent Bartlett type adjustment. Numerical studies confirm the benefits of the adjustments on the accuracy and on the power of tests whose statistics belong to ..

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Systematic Approach for Portmanteau Tests,distributed for any finite .. In view of the likelihood ratio, we also mention the asymptotics of a natural Whittle likelihood ratio test . which is always asymptotically chi-square distributed. Its local power is also evaluated. Numerical studies compare . with other famous portmanteau tests Ljung–