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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
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Package details |
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| Author | Hossein Hassani [aut], Masoud Yarmohammdi [aut], Mohammad Reza Yeganegi [aut], Leila Marvian Mashhad [aut, cre] |
| Maintainer | Leila Marvian Mashhad <Leila.marveian@gmail.com> |
| License | GPL-3 |
| Version | 2.0 |
| Package repository | View on CRAN |
| Installation |
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