Two functions that implement the Weighted Portmanteau Statistics from Fisher and Gallagher (2012). The first is essentially a weighted Ljung-Box type test that can be used for fitted ARMA processes or detecting non-linear effects. The second function can be utilized to check the adequacy of a fitted ARCH process. Both are written for backward compatibility.
The two functions,
Weighted.LM.test(), can be used in a similiar to the
Thomas J. Fisher and Colin M. Gallagher
Maintainer: Thomas J. Fisher <firstname.lastname@example.org>
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