rankQ: Rank-Based Portmanteau Tests

In NTS: Nonlinear Time Series Analysis

Rank-Based Portmanteau Tests

Description

Performs rank-based portmanteau statistics.

Usage

rankQ(zt, lag = 10, output = TRUE)

Arguments

zt	time series.
lag	the maximum lag to calculate the test statistic.
output	a logical value for output. Default is TRUE.

Value

rankQ function outputs the test statistics and p-values for Portmanteau tests, and returns a list with components:

Qstat	test statistics.
pv	p-values.

Examples

phi=t(matrix(c(-0.3, 0.5,0.6,-0.3),2,2))
y=uTAR.sim(nob=2000, arorder=c(2,2), phi=phi, d=2, thr=0.2, cnst=c(1,-1),sigma=c(1, 1))
rankQ(y$series,10,output=TRUE)

NTS documentation built on Sept. 25, 2023, 1:08 a.m.