Mixed Portmanteau Test for Diagnostic Checking of Time Series Models

Algorithm 3

Computation of empirical power.

Step  1. Calculate 100(1−𝛼)th percentile, say 𝑇^∗_1−𝛼, of the bootstrap distribution of 𝑇^∗

obtained using Algorithm 1.

Step  2. Reject null model if 𝑇≥𝑇^∗_1−𝛼 otherwise accept it.

Step  3. Repeat Step  1-2 for each of the 𝑁 Monte Carlo runs.

Step  4. Empirical power, 1−𝛽, is determined as below,

          1−𝛽=#(𝑇≥𝑇_1−𝛼)𝑁.