Hassani.SACF: Computing Lower Bound of Ljung-Box Test

The Ljung-Box test is one of the most important tests for time series diagnostics and model selection. The Hassani SACF (Sum of the Sample Autocorrelation Function) Theorem , however, indicates that the sum of sample autocorrelation function is always fix for any stationary time series with arbitrary length. This package confirms for sensitivity of the Ljung-Box test to the number of lags involved in the test and therefore it should be used with extra caution. The Hassani SACF Theorem has been described in : Hassani, Yeganegi and M. R. (2019) <doi:10.1016/j.physa.2018.12.028>.

Getting started

Package details

AuthorHossein Hassani [aut], Masoud Yarmohammdi [aut], Mohammad Reza Yeganegi [aut], Leila Marvian Mashhad [aut, cre]
MaintainerLeila Marvian Mashhad <Leila.marveian@gmail.com>
LicenseGPL-3
Version2.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("Hassani.SACF")

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Hassani.SACF documentation built on July 9, 2023, 7:26 p.m.