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.

Type

Journal article

Intellectual base

Primary research

Year

1978

DOI

10.1093/biomet/65.2.297

Link

https://doi.org/10.1093/biomet/65.2.297

Cited by

2 citations across 2 artifacts.

Each citation links to the sentence it supports in the citing article.

Domain-specific

• Portmanteau test
  • A portmanteau test combines several discrepancy measures into one general check of whether data depart from a specified null model.

Mechanisms

• 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.

Verification

This reference passed the adversarial substantiation pipeline: it was checked to exist and to support the claim it is attached to. See how references were verified.

Registry ID ref:5ba90dbba354 · see in the full table