科研之友
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摘要
We propose a portmanteau test for autoregressive moving average (ARMA) time series models with infinite variance. Our test is based on the partial autocorrelation PACF) of trimmed residuals from the fitted model. The asymptotic null distribution of the test statistic is derived when the innovation has a Pareto-type distribution and the estimators of the ARMA coefficients satisfy certain condition. The effectiveness of our test is established through extensive simulation studies. In general, our test agrees very well with that of Lee and Ng (2010) and under some circumstances it performs even better. Three real world examples are also provided to demonstrate its usage.
- 出版日期2014-1-1
