View source: R/WeightedBoxTest.R
WeightedBoxTest | R Documentation |
Weighted portmanteau tests for testing the null hypothesis of adequate ARMA fit and/or for detecting nonlinear processes. Written in the style of Box.test() and is capable of performing the traditional Box Pierce (1970), Ljung Box (1978) or Monti (1994) tests.
WeightedBoxTest(
x,
lag = 1,
type = c("Box-Pierce", "Ljung-Box", "Monti"),
fitdf = 0,
sqrd.res = FALSE,
log.sqrd.res = FALSE,
abs.res = FALSE,
weighted = TRUE
)
x |
a numeric vector or univariate time series, or residuals of a fitted time series |
lag |
the statistic will be based on lag autocorrelation coefficients. lag=1 by default |
type |
test to be performed, partial matching is used. "Box-Pierce" by default |
fitdf |
number of degrees of freedom to be subtracted if x is a series of residuals, set at 0 by default |
sqrd.res |
A flag, should the series/residuals be squared to detect for nonlinear effects?, FALSE by default |
log.sqrd.res |
A flag, should a log of the squared series/residuals be used to detect for nonlinear effects? FALSE by default |
abs.res |
A flag, should the absolute series or residuals be used to detect for nonlinear effects? FALSE by default |
weighted |
A flag determining if the weighting scheme should be utilized. TRUE by default. If set to FALSE, the traditional test is performed with no weights |
Get Uninformative Prior
David Gabauer
Box, G. E. P. and Pierce, D. A. (1970), Distribution of residual correlations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65, 1509-1526.
Fisher, T. J. and Gallagher, C. M. (2012), New Weighted Portmanteau Statistics for Time Series Goodness-of-Fit Testing. Journal of the American Statistical Association, accepted.
Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time series models. Biometrika 65, 297-303.
Mahdi, E. and McLeod, A. I. (2012), Improved multivariate portmanteau test. Journal of Time Series Analysis 65(2), 297-303.
Monti, A. C. (1994), A proposal for a residual autocorrelation test in linear models. Biometrika 81(4), 776-780.
Pena, D. and Rodriguez, J. (2002) A powerful portmanteau test of lack of fit for time series. Journal of the American Statistical Association 97(458), 601-610.
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