Robust portmanteau TRA tests and their limit distribution. Torres, S., Lacourly, N., & Allende, H. Communications in Statistics - Theory and Methods, 33(8):1899-1915, 2004.
doi  abstract   bibtex   
In financial time series analysis, serial correlations and the volatility clustering effects of asset returns are commonly checked by Ljung-Box and MCleod-Li Q test and filtered by ARMA models. However, it is known that the both tests are not robust to heavily tailed data. We propose a new diagnostic test for linear time series model in the presence of additive outliers using a generalized serial correlations statistics. This test (TRA test) is analogous of Portmanteau test and is based on the truncated autocovariance estimate (TRA-estimate). It is designed to increase the resistance to aberrant residuals by contaminated observations. The asymptotic of the proposed statistic is derived. A simulation study shows that the TRA test have good robustness properties over the Ljung-Box and Li tests.
@article{10.1081/STA-120037449,
    abstract = "In financial time series analysis, serial correlations and the volatility clustering effects of asset returns are commonly checked by Ljung-Box and MCleod-Li Q test and filtered by ARMA models. However, it is known that the both tests are not robust to heavily tailed data. We propose a new diagnostic test for linear time series model in the presence of additive outliers using a generalized serial correlations statistics. This test (TRA test) is analogous of Portmanteau test and is based on the truncated autocovariance estimate (TRA-estimate). It is designed to increase the resistance to aberrant residuals by contaminated observations. The asymptotic of the proposed statistic is derived. A simulation study shows that the TRA test have good robustness properties over the Ljung-Box and Li tests.",
    number = "8",
    year = "2004",
    title = "Robust portmanteau TRA tests and their limit distribution",
    volume = "33",
    keywords = "Autoregressive moving average models , Goodness-of-fit test , Outliers , Residual autocovariance estimate",
    pages = "1899-1915",
    doi = "10.1081/STA-120037449",
    journal = "Communications in Statistics - Theory and Methods",
    author = "Torres, Soledad and Lacourly, Nancy and Allende, Héctor"
}

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