ljung.wge: Ljung-Box Test

In BivinSadler/tswge: Time Series for Data Science

Ljung-Box Test

Description

Performs Ljung-Box Test for white noise

Usage

ljung.wge(x, K = 24, p = 0, q = 0)

Arguments

x	Realization to assess for white noise
K	Maximum lag for sample autocorrelations to be used in test
p	If x is a realization of residuals from an ARMA(p,q) fit then p=AR order. Otherwise, p=0
q	If x is a realization of residuals from an ARMA(p,q) fit then q=MA order. Otherwise, q=0

Value

test	Name of test for output: Ljung-Box Test
K	Maximum lag : same as input value
chi.square	Value of chi-square statistic
df	Degrees of freedom = K-p-q
pvalue	pvalue for testing null hypothesis of white noise

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

data(fig1.22a)
ljung.wge(fig1.22a, K=24,p=0,q=0)

BivinSadler/tswge documentation built on Sept. 15, 2023, 4:07 p.m.