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Full-Text Articles in Other Applied Mathematics
A Novel Correction For The Adjusted Box-Pierce Test, Sidy Danioko, Jianwei Zheng, Kyle Anderson, Alexander Barrett, Cyril S. Rakovski
A Novel Correction For The Adjusted Box-Pierce Test, Sidy Danioko, Jianwei Zheng, Kyle Anderson, Alexander Barrett, Cyril S. Rakovski
Mathematics, Physics, and Computer Science Faculty Articles and Research
The classical Box-Pierce and Ljung-Box tests for auto-correlation of residuals possess severe deviations from nominal type I error rates. Previous studies have attempted to address this issue by either revising existing tests or designing new techniques. The Adjusted Box-Pierce achieves the best results with respect to attaining type I error rates closer to nominal values. This research paper proposes a further correction to the adjusted Box-Pierce test that possesses near perfect type I error rates. The approach is based on an inflation of the rejection region for all sample sizes and lags calculated via a linear model applied to simulated …