LjungBoxPierceTest: 'LjungBoxPierceTest' determines the test statistic and p...

In tsapp: Time Series, Analysis and Application

Description

LjungBoxPierceTest determines the test statistic and p values for several lags for a residual series

Usage

LjungBoxPierceTest(y, n.par = 0, maxlag = 48)

Arguments

y	the series of residuals, a vector or a time series
n.par	number of parameters which had been estimated
maxlag	maximal lag up to which the test statistic is computed, default is maxlag = 48

Value

BT matrix with columns: lags, degrees of freedom, test statistic, p-value

Examples

data(COFFEE)
out <- arima(COFFEE,order=c(1,0,0))
BT <- LjungBoxPierceTest(out$residuals,1,20)

tsapp documentation built on Oct. 30, 2021, 5:08 p.m.