View source: R/autocovariances.R
acfMaTest | R Documentation |
Carry out autocorrelation test for MA(q).
acfMaTest(acf, ma, n, nlags, interval = 0.95)
acf |
autocorrelations. |
ma |
a positive integer, the moving average order. |
n |
length of the corresponding time series. |
nlags |
number of autocorrelations to use for the portmonteau statistic, can be a vector to request several such statistics. |
interval |
a number or NULL. |
acfMaTest
performs a test that the time series is MA(ma
),
under the classical assumptions of Bartlett's formulas.
When intervals are requested, they are confidence intervals for lags from 1 to
ma
. For lags greater than the moving average order, ma
,
autocorrelations outside them suggest to reject the null hypothesis that the
process is MA(ma
).
a list with components "test" and (if requested) "ci"
Georgi N. Boshnakov
whiteNoiseTest
,
acfIidTest
acfGarchTest
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