portmanteau_tests: Portmanteau tests

In feasts: Feature Extraction and Statistics for Time Series

Portmanteau tests

Description

Compute the Box–Pierce or Ljung–Box test statistic for examining the null hypothesis of independence in a given time series. These are sometimes known as ‘portmanteau’ tests.

Usage

ljung_box(x, lag = 1, dof = 0, ...)

box_pierce(x, lag = 1, dof = 0, ...)

portmanteau_tests

Arguments

x	A numeric vector
lag	The number of lag autocorrelation coefficients to use in calculating the statistic
dof	Degrees of freedom of the fitted model (useful if x is a series of residuals).
...	Unused.

Format

An object of class list of length 2.

Value

A vector of numeric features for the test's statistic and p-value.

See Also

stats::Box.test()

Examples

ljung_box(rnorm(100))

box_pierce(rnorm(100))

feasts documentation built on March 31, 2023, 11:49 p.m.