LB.test: Portmanteau Tests for Fitted ARIMA models

In TSA: Time Series Analysis

Portmanteau Tests for Fitted ARIMA models

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

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

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

TSA documentation built on July 5, 2022, 5:05 p.m.