Qstat: Q-statistics
In quantilogram: Cross-Quantilogram
Qstat R Documentation
Q-statistics
Description
Te Box-Pierece and Ljung-Box type Q-statistics
Usage
Qstat(vecTest, Tsize)
Arguments
vecTest
A vector of test statistics ordered with respect the number of lags
Tsize
A original sample size
Details
This function returns Box-Pierece and Ljung-Box type Q-statistics
Value
the Box-Pierece and Ljung-Box statistics
Author(s)
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
References
Box, G. EP, and D. A. Pierce. (1970).
"Distribution of residual autocorrelations in autoregressive-integrated moving average time series models."
Journal of the American Statistical Association 65.332, pp.1509-1526.
Ljung, G. M., and G. EP Box. (1978).
"On a measure of lack of fit in time series models."
Biometrika 65.2, pp.297-303.
quantilogram documentation built on March 18, 2022, 5:29 p.m.
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| Qstat | R Documentation |
Q-statistics
Description
Te Box-Pierece and Ljung-Box type Q-statistics
Usage
Qstat(vecTest, Tsize)
Arguments
vecTest |
A vector of test statistics ordered with respect the number of lags |
Tsize |
A original sample size |
Details
This function returns Box-Pierece and Ljung-Box type Q-statistics
Value
the Box-Pierece and Ljung-Box statistics
Author(s)
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
References
Box, G. EP, and D. A. Pierce. (1970). "Distribution of residual autocorrelations in autoregressive-integrated moving average time series models." Journal of the American Statistical Association 65.332, pp.1509-1526.
Ljung, G. M., and G. EP Box. (1978). "On a measure of lack of fit in time series models." Biometrika 65.2, pp.297-303.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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