标题： 改进的多元Portmanteau检验 显示英文标题

标题： Improved multivariate portmanteau test

摘要： 基于标准化多元残差自相关确定值的新向量自回归移动平均（VARMA）模型的组合诊断检验被推导出来。新的检验统计量可以看作是Pena和Rodriguez（2002年，美国统计学会杂志《时间序列缺乏检验的强大组合检验》）提出的单变量组合检验统计量的扩展。检验统计量的渐近分布以及卡方近似也被推导出来。然而，除非数据系列非常长，否则建议使用蒙特卡洛检验。广泛的模拟实验表明了该检验的有用性及其与广泛使用的先前多变量组合诊断检查相比具有改进的功率性能。给出了两个说明性应用。 显示英文摘要

摘要： A new portmanteau diagnostic test for vector autoregressive moving average (VARMA) models that is based on the determinant of the standardized multivariate residual autocorrelations is derived. The new test statistic may be considered an extension of the univariate portmanteau test statistic suggested by Pena and Rodriguez (2002, A Powerful Portmanteau Test of Lack of Test for Time Series, Journal of American Statistical Association) The asymptotic distribution of the test statistic is derived as well as a chi-square approximation. However, the Monte-Carlo test is recommended unless the series is very long. Extensive simulation experiments demonstrate the usefulness of this test as well as its improved power performance compared to widely used previous multivariate portmanteau diagnostic check. Two illustrative applications are given.