Wild bootstrap Ljung–Box test for residuals of ARMA models robust to variance change

다국어 초록 (Multilingual Abstract)

Ljung–Box (LB) test is one of the most popular test for determining whether auto-correlations in residuals of fitted time series models exist or not.
However, it may not be appropriate to apply LB test to time series data with variance change due to size distortions.
In this paper, we proposed a wild bootstrap-based LB test for residuals of fitted ARMA models.
Our simulation study shows that our wild bootstrap-based LB test achieves the correct sizes and comparable powers in finite samples in the presence of variance change.

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