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References (4)
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G. Ljung, G. Box (1978)
On a measure of lack of fit in time series modelsBiometrika, 65
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Ian McLeod (1975)
Derivation of the Theoretical Autocovariance Function of Autoregressive–Moving Average Time SeriesJournal of The Royal Statistical Society Series C-applied Statistics, 24
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N. Davies, C. Triggs, P. Newbold (1977)
Significance levels of the Box-Pierce portmanteau statistic in finite samplesBiometrika, 64
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G. Box, David Pierce (1970)
Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series ModelsJournal of the American Statistical Association, 65
- Publisher
- Oxford University Press
- Copyright
- © 1979 Biometrika Trust
- ISSN
- 0006-3444
- eISSN
- 1464-3510
- DOI
- 10.1093/biomet/66.1.153
- Publisher site
- See Article on Publisher Site
Abstract
Abstract SUMMARY In this note we present simulation evidence on the power of a portmanteau statistic used to detect time series model misspecification. This is related to the loss in forecasting accuracy resulting from use of the incorrectly specified model. Our conclusion is that the statistic achieves a high level of success only when sample size is large. This content is only available as a PDF. © 1979 Biometrika Trust
Journal
Biometrika – Oxford University Press
Published: Apr 1, 1979