A Portmanteau Test for ARMA Processes with Infinite Variance |
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| Authors: | Yunwei Cui Rongning Wu |
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| Affiliation: | 1. Department of Computer and Mathematical Sciences, University of Houston Downtown, Houston, United Statescuiy@uhd.edu;3. Baruch College, The City University of New York, New York, United States |
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| Abstract: | When a control chart is used in practice, knowledge about several characteristics of the method is important for the judgement of which action is appropriate at an alarm. The probability of a false alarm, the delay of an alarm and the predictive value of an alarm are qualities (besides the usual ARL) which are described by a simulation study for the evaluations. Results for finite time are given for a shift in level of a Gaussian process. Evaluations are made of the full likelihood ratio method that has two parameters and can be made optimal for both the size and the intensity of a shift |
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| Keywords: | Partial autocorrelation Portmanteau test Trimmed residuals |
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