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Title

Bootstrap Power of Time Series Goodness of fit tests

Keywords

Portmanteau tests; Bootstrapping; Power.

Description

In this article, we looked at power of various versions of Box and Pierce statistic and Cramer von Mises test. An extensive simulation study has been conducted to compare the power of these tests. Algorithms have been provided for the power calculations and comparison has also been made between the semi parametric bootstrap methods used for time series. Results show that Box-
Pierce statistic and its various versions have good power against linear time series models but poor power against non linear models while situation reverses for Cramer von Mises test. Moreover, we found that dynamic bootstrap method is better than xed design bootstrap method.

Date

2013-10-21

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol. 9 No. 2, 2013



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810