Weighted Portmanteau Test procedures for Time Series Goodness-of-fit

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Description

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.

Details

Package: WeightedPortTest
Type: Package
Version: 1.0
Date: 2012-03-29
License: GPL (>=3)
LazyLoad: yes

The two functions, Weighted.Box.test() and Weighted.LM.test(), can be used in a similiar to the Box.test() function.

Author(s)

Thomas J. Fisher and Colin M. Gallagher

Maintainer: Thomas J. Fisher <fishertho@umkc.edu>