Runs test

Runs test

Time series analysis

The runs test simplifies a time series to two values (e.g. positive and negative, but you can pick any suitble y, not just 0) and basically checks how long the series stays on one of the two values – or how many times it changes.

+ + + + − − − + + + − − + + + + + + − − − −

When the residuals are white noise, you'd expect to see the sign changing rapidly. If you have long runs of one kind, there's something wrong.

Created (2 years ago)