The Cumulative Periodogram statistical test, also known as the Bartlett’s test, is aimed at assisting the data scientist in selecting the model candidate which is the best choice for the data they are modeling. The test which works off the residuals generated during the model validation / model selection processing phase. As mentioned previously, typically the data scientists divide their series sample set into two portions: the first portion to be used for the 'model fitting' exercise; and, the second portion to be used for the 'model validation' exercise. The TD_CUMUL_PERIODOGRAM function is usually executed against the residuals produced during the second 'model validation' exercise, meaning against the 'in-sample' forecasted data points.
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