On a Measure of Lack of Fit in Time Series Models.¶
LJUNG, G. M., & BOX, G. E. P. (1978). On a Measure of Lack of Fit in Time Series Models. Biometrika, 65(2), 297-303.
Cited by¶
3 citations across 3 artifacts.
Each citation links to the sentence it supports in the citing article.
Domain-specific¶
Mechanisms¶
- Innovation Residual Monitor
- The guarding discipline is robust residual scaling and a portmanteau whiteness test such as the Ljung-Box test
This sourceIntroduces a portmanteau test for overall lack of fit in time-series models by examining residual autocorrelation across a selected set of lags.
- The guarding discipline is robust residual scaling and a portmanteau whiteness test such as the Ljung-Box test
- Residual Leakage and Whiteness Check
- It misleads when over-read: passing whiteness is necessary but not sufficient, because a wrong model can still leave white residuals, and the check sees leakage
This sourceIntroduces a residual-autocorrelation test for detecting overall lack of fit in autoregressive-moving-average models.
- It misleads when over-read: passing whiteness is necessary but not sufficient, because a wrong model can still leave white residuals, and the check sees leakage
Verification¶
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