acfMaTest: Autocorrelation test for MA(q)

In GeoBosh/sarima: Simulation and Prediction with Seasonal ARIMA Models

Autocorrelation test for MA(q)

Description

Carry out autocorrelation test for MA(q).

Usage

acfMaTest(acf, ma, n, nlags, interval = 0.95)

Arguments

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.

Details

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).

Value

a list with components "test" and (if requested) "ci"

Author(s)

Georgi N. Boshnakov

See Also

whiteNoiseTest, acfIidTest acfGarchTest

GeoBosh/sarima documentation built on March 27, 2024, 6:31 p.m.