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ARIMA model Ljung_Box test p-value

  • Thread starter Thread starter Aaditya Bhardwaj
  • Start date Start date
A

Aaditya Bhardwaj

Guest
I have applied Ljung_Box test on residuals and I am getting 10 p-values associated with each lag. However, when I use arima_model.summary(), I get only one p-value. I am interested in knowing how does model.summary() combine all p-values to get a single p-value?

Code:
# ARIMA model Summary
from pmdarima.arima import auto_arima
arima_model = auto_arima(residuals, d=0).fit(residuals)
pvalues = float(arima_model.summary().tables[2].data[1][1])

# Perform the Ljung-Box test for lag values
from statsmodels.stats.diagnostic import acorr_ljungbox
ljung_box_results = acorr_ljungbox(residuals, return_df=True, boxpierce=True)
print('Ljung-Box Test:\n', ljung_box_results)
<p>I have applied Ljung_Box test on residuals and I am getting 10 p-values associated with each lag. However, when I use arima_model.summary(), I get only one p-value. I am interested in knowing how does model.summary() combine all p-values to get a single p-value?</p>
<pre><code># ARIMA model Summary
from pmdarima.arima import auto_arima
arima_model = auto_arima(residuals, d=0).fit(residuals)
pvalues = float(arima_model.summary().tables[2].data[1][1])

# Perform the Ljung-Box test for lag values
from statsmodels.stats.diagnostic import acorr_ljungbox
ljung_box_results = acorr_ljungbox(residuals, return_df=True, boxpierce=True)
print('Ljung-Box Test:\n', ljung_box_results)
</code></pre>
 
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