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On a measure of lack of fit in time series models

Greta M. Ljung; George E. P. Box · Biometrika · 1978

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Author / responsible party
Greta M. Ljung; George E. P. Box
Publisher
Biometrika
Year
1978
Language
English

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The overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered. It is shown that a substantially improved approximation results from a simple modification of this test. Some consideration is given to the power of such tests and their robustness when the innovations are nonnormal. Similar modifications in the overall tests used for transfer function-noise models are proposed

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APA 7

Ljung, G. M. & Box, G. E. P. (1978). On a measure of lack of fit in time series models. https://doi.org/10.1093/biomet/65.2.297

MLA

Ljung, Greta M, and George E. P. Box. "On a measure of lack of fit in time series models." 1978. https://doi.org/10.1093/biomet/65.2.297.

Chicago

Ljung, Greta M. and George E. P. Box. 1978. "On a measure of lack of fit in time series models.". https://doi.org/10.1093/biomet/65.2.297.

Harvard

Ljung, G. M. and Box, G. E. P. 1978, On a measure of lack of fit in time series models, Biometrika, available at: https://doi.org/10.1093/biomet/65.2.297 [Accessed 7 Aug. 2026].

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Resource details

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Title
On a measure of lack of fit in time series models
Author / contributors
Greta M. Ljung; George E. P. Box
Publisher
Biometrika
Publication year
1978
Language
English

Subjects

Explore related resources through these subjects.

Mathematics; Autoregressive model; Robustness (evolution); Series (stratigraphy); Measure (data warehouse); Econometrics; Applied mathematics; Statistics; Power function; Time series; Computer science; Data mining
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