TD_PORTMAN (Portmanteau test) is a statistical test to determine if the passed-in residual series can be classified as being white noise. White noise is a series that has zero mean, no evidence of serial correlation, and homoscedastic variance. The TD_PORTMAN test is a suite of sub-tests that a data scientist can use to determine if the passed-in series is white noise. All the tests assume that the calculated statistic follows a chi-squared distribution.
The following procedure is an example of how to use TD_PORTMAN:
- Use TD_ARIMAESTIMATE with FIT_PERCENTAGE less than 100, to estimate the coefficients associated with an ARIMA model and produce an associated ART table.
- Use TD_ARIMAVALIDATE to validate the estimate ARIMA model produced by TD_ARIMAESTIMATE.
- Use TD_EXTRACT_RESULTS using the ARTFITRESIDUALS layer.
- Use TD_PORTMAN to check the residuals for zero mean white noise.