Test the whiteness of the residuals using the Portmanteau test.
This test is described in [1], chapter 8.4.1.
- Parameters
- nlags
int
> 0
- signif
float
, 0 < signif < 1
- adjustedbool,
default
False
- Returns
- result
statsmodels.tsa.vector_ar.hypothesis_test_results.WhitenessTestResults
References
- 1
Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.