Box.Ljung.Test: Ljung-Box Test Plot

In LSTS: Locally Stationary Time Series

Description

Plots the p-values Ljung-Box test.

Usage

Box.Ljung.Test(z, lag = NULL, main = NULL)

Arguments

z	(type: numeric) data vector
lag	(type: numeric) the number of periods for the autocorrelation
main	(type: character) a title for the returned plot

Details

The Ljung-Box test is used to check if exists autocorrelation in a time series. The statistic is

q = n(n+2)\cdot∑_{j=1}^h \hat{ρ}(j)^2/(n-j)

with n the number of observations and \hat{ρ}(j) the autocorrelation coefficient in the sample when the lag is j. LSTS_lbtp computes q and returns the p-values graph with lag j.

Value

A ggplot object.

References

For more information on theoretical foundations and estimation methods see \insertRefbrockwell2002introductionLSTS \insertRefljung1978measureLSTS

See Also

periodogram

Examples

Box.Ljung.Test(malleco, lag = 5)

LSTS documentation built on July 29, 2021, 5:07 p.m.