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有限样本中 Box–Pierce 综合检验统计量的显著性水平AI 解读

In time series model building, using the methodology of Box & Jenkins (1970), it is usual to verify the adequacy of a fitted equation by computing residual autocorrelations. Following Box & Pierce (1970), an overall, or ’portmanteau’, test of fit can be based on these quantities. Recent experience suggests that surprisingly low values of the portmanteau statistic are often found. This paper shows that, even for moderately large sample sizes, the true significance levels are…

有限样本中 Box–Pierce 综合检验统计量的显著性水平AI 解读

In time series model building, using the methodology of Box & Jenkins (1970), it is usual to verify the adequacy of a fitted equation by computing residual autocorrelations. Following Box & Pierce (1970), an overall, or ’portmanteau’, test of fit can be based on these quantities. Recent experience suggests that surprisingly low values of the portmanteau statistic are often found. This paper shows that, even for moderately large sample sizes, the true significance levels are…

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