Trimmed portmanteau test for linear processes with infinite variance

  • Authors:

  • Sangyeol Lee;Chi Tim Ng

  • Affiliations:

  • Department of Statistics, Seoul National University, Seoul 151-747, Republic of Korea;Department of Statistics, Seoul National University, Seoul 151-747, Republic of Korea

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2010

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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.