Time series forecasting is an important application of many statistical methods. When it is appropriate to assume that the data may be projected towards the future based on the past history of the dataset, a preliminary examination is usually required to ensure that the data sequence is autocorrelated. This is a quite obvious assumption that has to be made and can be the object of a formal test of hypotheses. The most widely used test is the portmanteau test, i.e., a sum of the squared standardized autocorrelations up to an appropriate maximum lag (the truncation point). The choice of the truncation point is not obvious and may be data-driven exploiting supplementary information, e.g. the largest autocorrelation and the lag where such maximum is found. In this paper, we propose a portmanteau test with a truncation point equal to the lag of the largest (absolute value) estimated autocorrelation. Theoretical and simulation-based comparisons based on size and power are performed with competing portmanteau tests, and encouraging results are obtained.

A simple portmanteau test with data-driven truncation point / Baragona, R; Battaglia, F; Cucina, D. - In: COMPUTATIONAL STATISTICS. - ISSN 0943-4062. - 30:(2024), pp. 733-749. [10.1007/s00180-022-01320-6]

A simple portmanteau test with data-driven truncation point

Baragona, R;Battaglia, F;Cucina, D
2024

Abstract

Time series forecasting is an important application of many statistical methods. When it is appropriate to assume that the data may be projected towards the future based on the past history of the dataset, a preliminary examination is usually required to ensure that the data sequence is autocorrelated. This is a quite obvious assumption that has to be made and can be the object of a formal test of hypotheses. The most widely used test is the portmanteau test, i.e., a sum of the squared standardized autocorrelations up to an appropriate maximum lag (the truncation point). The choice of the truncation point is not obvious and may be data-driven exploiting supplementary information, e.g. the largest autocorrelation and the lag where such maximum is found. In this paper, we propose a portmanteau test with a truncation point equal to the lag of the largest (absolute value) estimated autocorrelation. Theoretical and simulation-based comparisons based on size and power are performed with competing portmanteau tests, and encouraging results are obtained.
2024
White noise test; Maximum autocorrelation; Information criteria; Time series
01 Pubblicazione su rivista::01a Articolo in rivista
A simple portmanteau test with data-driven truncation point / Baragona, R; Battaglia, F; Cucina, D. - In: COMPUTATIONAL STATISTICS. - ISSN 0943-4062. - 30:(2024), pp. 733-749. [10.1007/s00180-022-01320-6]
File allegati a questo prodotto
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1669582
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 0
social impact