diag_portmanteau_: Portmanteau Tests

In simts: Time Series Analysis Tools

Portmanteau Tests

Description

Performs the Portmanteau test to assess the Null Hypothesis of Independence in a Time Series

Usage

diag_portmanteau_(
  x,
  order = NULL,
  stop_lag = 20,
  stdres = FALSE,
  test = "Ljung-Box",
  plot = TRUE
)

Arguments

x	An arima or data set.
order	An integer indicating the degrees of freedom. If 'x' is not a series of residuals, then set equal to 0.
stop_lag	An integer indicating the length of lags that should be calculated.
stdres	A boolean indicating whether to standardize the residualizes (e.g. res/sd(res)) or not.
test	A string indicating whether to perform Ljung-Box test or Box-Pierce test.
plot	A logical. If TRUE (the default) a plot should be produced.

Author(s)

James Balamuta, Stéphane Guerrier, Yuming Zhang

simts documentation built on Aug. 31, 2023, 5:07 p.m.