PRStat {PRTest}R Documentation

Generalized variance test statistic

Description

The negative of the log of the determinant of

Usage

PRStat(res, lags = seq(5, 20, 5))

Arguments

res residuals or series to be tested for randomness
lags vector of lags at which to evaluate the test statistic

Details

Pena-Rodriguez introduced a portmanteau goodness-of-fit test based on the generalized variance of the standardized residuals. The (i,j)-entry of the corresponding covariance matrix is r[i-j], where r[k] denotes the residual autocorrelation at lag k. Pena and Rodriguez ( and 2006) and Lin and McLeod ( ) discuss various normalizations for obtaining the asymptotic distribution. Since Monte-Carlo simulations we can simply use the negative of the log of the determinant of the covariance matrix as our test statistic.

Value

negative of the log of the determinant

Author(s)

A.I. McLeod

References

Lin, J.W. and McLeod, A.I. (2006). Improved Pena-Rodriguez Portmanteau Test. Computational Statistics and Data Analysis, 51, 1731-1738.

Lin, J.W. and McLeod, A.I. (2007, accepted). Portmanteau Tests for ARMA Models with Infinite Variance. Journal of Time Series Analysis.

Pev{n}a, D. and Rodriguez, J. (2002), A Powerful Portmanteau Test of Lack of Fit For Time Series. Journal of American Statistical Association 97, 601-610.

Pev{n}a, D. and Rodriguez, J. (2006). The Log of the Autocorrelation Matrix for Testing Goodness of Fit in Time Series. Journal of Statistical Inference and Planning 136, 2706-2718.

See Also

LBStat

Examples

PRStat(rnorm(50))

[Package PRTest version 1.0 Index]