Main Article Content

Abstract

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.

Keywords

Portmanteau tests Bootstrapping Power.

Article Details

Author Biographies

Sohail Chand, College of Statistical and Actuarial Sciences University of the Punjab Quaid-i-Azam Campus Lahore Pakistan

Assistant Professor

Shahid Kamal, College of Statistical and Actuarial Sciences University of the Punjab Quaid-i-Azam Campus Lahore Pakistan

Professor and Principal
How to Cite
Chand, S., & Kamal, S. (2013). Bootstrap Power of Time Series Goodness of fit tests. Pakistan Journal of Statistics and Operation Research, 9(2), 155-170. https://doi.org/10.18187/pjsor.v9i2.547