ARIMA模型的诊断检测都要做什么?

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

ARIMA模型的诊断检测都要做什么?

似乎标准的BK法就要求做LB测试
为什么不需要测试残差的正态性之类的呢?

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：ARIMA模型 ARIMA MA模型 Rim ima 模型 诊断 ARIMA 检测

I think you need to check the normality

The diagnosis checks if the hypotheses
made on the residuals (actual prices minus fitted prices) are true. Residuals must satisfy the requirements
of a white noise process: zero mean, constant variance,
uncorrelated process and normal distribution. These requirements
can be checked by taking tests for randomness, such as
the one based on the Ljung-Box statistic, and observing plots,
such as the autocorrelation and partial autocorrelation plots.
If the hypotheses on the residuals are validated by tests and
plots,

查Durbin-Watson Statistic测有没有误差有没有关联

看模型估计出来的残差是不是白噪声

诊断检验
1.通过计算多个诊断统计量来衡量模型的拟合优度以及准确度，
2.对模型的残差序列进行相关性检验和正态性检验