WNtest.LB: Perform the Ljung-Box test for whether a time series is iid.

In gregorkb/tscourse: Contains several functions for time series analysis.

Perform the Ljung-Box test for whether a time series is iid.

Description

Perform the Ljung-Box test for whether a time series is iid.

Usage

WNtest.LB(X, k = 1, nparms = 0)

Arguments

X	a vector containing time series data.
k	number of lags on which to base the test statistic
nparms	number of parameters in the fitted model; the degrees of freedom of the chi-squared distribution from which the p value is computed will be set equal to k - nparms.

Value

the p value of the Ljung-Box test

This function performs the Ljung-Box test for whether the time series is iid.

gregorkb/tscourse documentation built on Oct. 3, 2022, 5:31 p.m.