A note on the Ljung--Box--Pierce portmanteau statistic with missing data

David S. Stoffer and Clélia M. C. Toloi

Statistics & Probability Letters, 1992, vol. 13, issue 5, 391-396

Abstract: The overall test for lack of fit for time series models proposed by Box and Pierce (1970) and Ljung and Box (1978) is modified to include the case when observations are missing. The missing data mechanism considered here is general and nonparametric.

Keywords: ARMA; models; missing; observations; residual; autocorrelation; test; for; lack; of; fit (search for similar items in EconPapers)
Date: 1992
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