Published
2015-07-06

Una nota sobre la prueba de Peña y Rodríguez para la bondad del ajuste en series de tiempo

A Note About the Peña-Rodríguez Test of the Goodness of Fit in Time Series

DOI: https://doi.org/10.15332/s2027-3355.2008.0001.03
Hanwen Zhang
Investigador. Predictive Ltda.
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Abstract (en)

The aim of this paper is to divulge the modification of the Pen˜a y Rodr´ıguez test (2002) of goodness of fit. This test is asymptotically equivalent, but it is more powerful than the previous one. Two approaches are proposed using the gamma and the normal distributions. By an empirical example it is shown that theproposedtest ismore powerfulthanLjung-Boxtestand Montitestof nonlinear models detection.
Keywords (en): Coeficiente de autocorrelación, autocorrelación parcial, prueba de no linealidad, modelos ARIMA

Abstract (es)

Este artículo tiene como fin divulgar a los lectores una prueba de bondad de ajuste para series de tiempo: la prueba de Peña y Rodríguez modificada (2002). Esta prueba es asintóticamente equivalente a la anterior, pero más potente. Se presentan dos aproximaciones de la estadística de prueba: por la distribución normal y la distribución Gamma. Mediante simulaciones de Monte Carlo, se muestra que la prueba de Peña y Rodríguez es más potente para la detección de series no lineales que la prueba de Ljung-Box y la prueba de Monti.
Keywords (es): Coeficiente de autocorrelación, autocorrelación parcial, prueba de no linealidad, modelos ARIMA

References

Chen, W. & Deo, R. (2004), `Power transformation to induce normality and their application.', Journal of Royal Statistical Society Ser. B(66), 117- 130.

Ljung, G. & Box, G. (1978), `On a measure of lack of Øt in time series models', Biometrika65, 297- 303.

McLeod, A. & Li, W. (1983), `Diagnostic checking arima time series models using squared-residual autocorrelations', Journal of Time Series Analysis4, 269-273.

Peña, D. and Rodríguez, J. (2002), `A powerful portmanteau test of lack of fit for time series', Journal of the American Statistical Association96, 601- 610.

Peña, D. and Rodríguez, J. (2006), `The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series', Journal of Statistical Planning and Inference 136(8), 2706-2718

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How to Cite

Zhang, H. (2015). A Note About the Peña-Rodríguez Test of the Goodness of Fit in Time Series. Comunicaciones En Estadística, 1(1), 33-41. https://doi.org/10.15332/s2027-3355.2008.0001.03

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