Examples
In time series analysis, two well-known versions of a portmanteau test are available for testing for autocorrelation in the residuals of a model: it tests whether any of a group of autocorrelations of the residual time series are different from zero. This test is the Ljung–Box test, which is an improved version of the Box–Pierce test, having been devised at essentially the same time; a seemingly trivial simplification (omitted in the improved test) was found to have a deleterious effect. This portmanteau test is useful in working with ARIMA models.
In the context of regression analysis, including regession analysis with time series structures, a portmanteau test has been devised which allows a general test to made for the possibility that a range of types nonlinear transformations of combinations of the explanatory variables should have been included in addition to a selected model structure.
Read more about this topic: Portmanteau Test
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