Statistics and Data Science Seminar
Prof. Xiaofeng Shao
UIUC
Portmanteau Tests in Time Series
Abstract: This talk consists of two parts. In the first part, we will talk about testing for white noise and its applications to goodness-of-fit of long memory time series models. The limitation of the current asymptotic theory for portmanteau tests will be pointed out and new theoretical results will be discussed. In the second part, we will introduce generalized portmanteau type test statistics in the frequency domain to test independence between two stationary time series. Unlike the existing tests, each time series is allowed to possess short memory, long memory or anti-persistence. Under the null hypothesis of independence, the asymptotic null distributions of the proposed statistics are standard normal. The results from a simulation study will also be presented.
Wednesday January 21, 2009 at 4:15 PM in SEO 612