alkaline-ml
Residuals diagnostics - tests of residuals
Describe the question you have
Hi there!
I am working on my Master thesis forecast using ts in Python and pmdarima as a big part of it. As far as this is an academic domain I really need to interpret every part of auto_arima.summary. And I struggle a little bit with tests of residuals. I am pretty familiar with Ljung-Box and Jarque-Bera test here, but I am not sure which test pmdarima authors included here as a Heteroskedasticity test and also I did not find this information on pmdarima website https://alkaline-ml.com/pmdarima/. Could you please specify, which test is computed for heteroskedasticity? Thank you!
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Hey there. The model summary is produced by the underlying statsmodels object. It appears to be using the Goldfeld-Quandt test.
[1] https://github.com/statsmodels/statsmodels/blob/main/statsmodels/tsa/statespace/mlemodel.py#L4470 [2] https://github.com/statsmodels/statsmodels/blob/main/statsmodels/tsa/statespace/mlemodel.py#L3018
Thank you very much for your prompt answer!
It's really helpful.
Dňa ut, 4. jan 2022, 22:34 Taylor G Smith @.***> napísal(a):
Hey there. The model summary is produced by the underlying statsmodels object. It appears to be using the Goldfeld-Quandt https://en.wikipedia.org/wiki/Goldfeld%E2%80%93Quandt_test test.
[1] https://github.com/statsmodels/statsmodels/blob/main/statsmodels/tsa/statespace/mlemodel.py#L4470 [2] https://github.com/statsmodels/statsmodels/blob/main/statsmodels/tsa/statespace/mlemodel.py#L3018
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