6.
Process or Product Monitoring and Control
6.4. Introduction to Time Series Analysis 6.4.4. Univariate Time Series Models
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Test for Lack of Fit |
The Box-Ljung test (1978)
is a diagnostic tool used to test the lack of fit of a time series model
The test is applied to the residuals of a time series
after fitting an ARMA( Section 6.4.4.10 contains an example in which the Box-Ljung test is implemented using a residual time series. |
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Definition |
In general, the Box-Ljung test is defined as:
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