• P-ISSN 0974-6846 E-ISSN 0974-5645

Indian Journal of Science and Technology


Indian Journal of Science and Technology

Year: 2010, Volume: 3, Issue: 9, Pages: 1026-1031

Original Article

Diagnostic checking of time series models


Diagnostic checks have become a standard tool for identification of models before forecasting the data. The overall test for lack of fit for autoregressive moving average models proposed by Box and Pierce (1970) and a measure of lack of fit in time series models proposed by Ljung and Box (1978) are considered. In this paper, a modification is made and it is shown that a substantially improved approximation results from a simple improvement of this test. Cumulative periodogram check is also given.
Keywords: Time series, ARMA, ARIMA, forecasting.


Subscribe now for latest articles and news.