Portmanteau test

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In statistics, a portmanteau test (also called Ljung-Box test) tests whether the autocorrelations of a time series fulfill a certain criterion. It is important within ARIMA models.

[edit] References

  • Ljung, G. M. and Box, G. E. P., "On a measure of lack of fit in time series models." Biometrika 65 (1978): 553-564.



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