LB.test: Portmanteau Tests for Fitted ARIMA models

Description Usage Arguments Value Author(s) References Examples

View source: R/LB.test.R

Description

This function modifies the Box.test function in the stats package, and it computes the Ljung-Box or Box-Pierce tests checking whether or not the residuals appear to be white noise.

Usage

1
2
LB.test(model, lag = 12, type = c("Ljung-Box", "Box-Pierce"), no.error = FALSE,
 omit.initial = TRUE)

Arguments

model

model fit from the arima function

lag

number of lags of the autocorrelation of the residuals to be included in the test statistic. (default=12)

type

either Ljung-Box or Box-Pierce

no.error

a system variable; normally it is not changed

omit.initial

if true, (d+Ds) initial residuals are omitted from the test

Value

a list:

statistics

test statistic

p.value

p-value

parameter

d.f. of the Chi-square test

lag

no of lags

Author(s)

Kung-Sik Chan, based on A. Trapletti's work on the Box.test function in the stats package

References

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, 15091526.

Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time series models. Biometrika 65, 553564.

Examples

1
2
3
data(color)
m1.color=arima(color,order=c(1,0,0))
LB.test(m1.color)

TSA documentation built on July 2, 2018, 1:04 a.m.