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- W4280497533 abstract "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 data that encompasses a large range of data scenarios. Our results show that the new approach possesses the best type I error rates of all goodness-of-fit time series statistics." @default.
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- W4280497533 date "2022-05-19" @default.
- W4280497533 modified "2023-10-14" @default.
- W4280497533 title "A Novel Correction for the Adjusted Box-Pierce Test" @default.
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- W4280497533 doi "https://doi.org/10.3389/fams.2022.873746" @default.
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