Sensitivity of the portmanteau statistic in time series modeling

Andy Lee, John Yick and Yer Van Hui

Journal of Applied Statistics, 2001, vol. 28, issue 6, 691-702

Abstract: The portmanteau statistic is commonly used for testing goodness-of-fit of time series models. However, this lack of fit test may depend on one or several atypical observations in the series. We investigate the sensitivity of the portmanteau statistic in the presence of additive outliers. Diagnostics are developed to assess both local and global influence. Three practical examples demonstrate the usefulness of the proposed diagnostics.

Date: 2001
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DOI: 10.1080/02664760120059228

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