topic Re: White Noise Prob in Statistical Procedures

White Noise Prob

johanihanan — Fri, 10 Nov 2023 13:25:08 GMT

I have issue with interpreting the results of residual autocorrelation for ARIMA model. The plot of lag versus White Noise Prob is empty! seems the values are very small. The p value is 0.003. Based on P value , the null hypothesis of no autocorrelation in the residual is rejected at 5%. that means there are strong correlation BUT the plot shows small autocorrelation values!

I hope someone help me on that

thank you

Re: White Noise Prob

Ksharp — Sat, 11 Nov 2023 10:20:38 GMT

White Noise is special term in time series analysis. So post it at forecast forum would be better.

https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics

Re: White Noise Prob

Ksharp — Sat, 11 Nov 2023 10:24:04 GMT

Also could check PROC AUTOREG in Rick's blog:

https://blogs.sas.com/content/iml/2015/03/12/digits-of-pi.html

Re: White Noise Prob

sbxkoenk — Sat, 11 Nov 2023 16:50:14 GMT

Hello,

Can you specify which two plots you are talking about?

Is it:

RESIDUAL(WN) --> produces the plot of Ljung-Box white-noise test p-values at different lags.
RESIDUAL(ACF) --> produces the plot of residual autocorrelations.

Or maybe you have just asked for
RESIDUAL(CORR)?

What is small?
Small autocorrelation values can also be significantly different from zero of course.

BR, Koen