[R] [Stat related] Understanding Portmanteau test

[Rolf Turner]

On 8/11/2008, at 5:48 PM, RON70 wrote:

>
> 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?

The ``Portmanteau test'' is the name often given to the Box-Pierce or  
modified
Box-Pierce (Box-Ljung or Ljung-Box-Pierce) statistic.  See e.g.  
Jonathan Cryer,
``Time Series Analysis'', Duxbury 1986, page 153.

It is called the Portmanteau test because it packs a bunch of tests  
into a
single ``suitcase''.  (``Portmanteau'' is an old-fashioned word for  
suitcase.)

HTH.

	cheers,

		Rolf Turner

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