PRnd: ND Test

In ConvFuncTimeSeries/test_t: Nonlinear time series analysis

Description

Compute the ND test statistic of Pena and Rodriguez (2006, JSPI).

Usage

PRnd(x, m = 10, p = 0, q = 0)

Arguments

x	time series.
m	the maximum number of lag of correlation to test.
p	AR order.
q	MA order.

Value

PRnd function outputs the ND test statistic and its p-value.

References

Pena, D., and Rodriguez, J. (2006) A powerful Portmanteau test of lack of fit for time series. series. Journal of American Statistical Association, 97, 601-610.

Examples

y=arima.sim(n=500,list(ar=c(0.8,-0.6,0.7)))
PRnd(y,10,3,0)

ConvFuncTimeSeries/test_t documentation built on May 29, 2019, 1:39 p.m.