Trimmed portmanteau test for linear processes with infinite variance |
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Authors: | Sangyeol Lee Chi Tim Ng |
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Affiliation: | Department of Statistics, Seoul National University, Seoul 151-747, Republic of Korea |
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Abstract: | In this article, we consider a model check test for linear processes with infinite variance. As a test statistic, we employ the portmanteau test with trimmed residuals. It is shown that the limiting null distribution of the test is a chi-square distribution. Simulation results are provided for illustration. |
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Keywords: | primary, 62M10 secondary, 62F12 |
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