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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