[R] [Stat related] Understanding Portmanteau test
A.Robinson at ms.unimelb.edu.au
Sun Nov 9 07:39:44 CET 2008
On Sat, Nov 08, 2008 at 09:58:14PM -0800, RON70 wrote:
> Still waiting for some input. Did my question void forum rule in any manner?
No, no specific rule. It's just not a particularly easy question to
answer, because it's not clear in what context you have seen the
phrase "portmanteau test". Any given answer might be completely
irrelevant and useless to you.
> > Sorry to be off-topic. Can somebody please explain me what is Portmanteau
> > test? Why it's name is like that? When I would say, a particular test is
> > portmanteau test? I did some googling but got no satisfactory answer at
> > all. Please anybody help for understanding that?
For what it's worth, the Cambridge Dictionary of Statistics defines a
"portmanteau test" as a test for assessing the fit of models for time
series in the presence of outliers. It provides a citation:
Computational Statistics, 1994, 9, 301-310.
I hope that helps.
Department of Mathematics and Statistics Tel: +61-3-8344-6410
University of Melbourne, VIC 3010 Australia Fax: +61-3-8344-4599
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