Process or Product Monitoring and Control
6.4. Introduction to Time Series Analysis
6.4.4. Univariate Time Series Models
|Assumptions for a Stable Univariate Process||
Model diagnostics for Box-Jenkins models is similar to model
validation for non-linear
least squares fitting.
That is, the error term \(A_t\) is assumed to follow the assumptions for a stationary univariate process. The residuals should be white noise (or independent when their distributions are normal) drawings from a fixed distribution with a constant mean and variance. If the Box-Jenkins model is a good model for the data, the residuals should satisfy these assumptions.
If these assumptions are not satisfied, we need to fit a more appropriate model. That is, we go back to the model identification step and try to develop a better model. Hopefully the analysis of the residuals can provide some clues as to a more appropriate model.
|4-Plot of Residuals||
As discussed in the EDA chapter, one way to assess if the residuals
from the Box-Jenkins model follow the assumptions is to generate
a 4-plot of the
residuals and an
autocorrelation plot of
the residuals. One could also look at the value of the
Box-Ljung (1978) statistic.
An example of analyzing the residuals from a Box-Jenkins model is given in the Negiz data case study.