sigex.portmanteau: Computes the portmanteau statistic for residuals
In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction
View source: R/sigex.portmanteau.r
sigex.portmanteau R Documentation
Computes the portmanteau statistic for residuals
Description
Computes the portmanteau statistic for residuals
Usage
sigex.portmanteau(resids, lag, nump)
Arguments
resids
A T x N matrix of residuals
lag
Number of autocorrelation lags used in the statistic
nump
Number of parameters that are estimated
Value
port and pval
port: value of the portmanteau test statistic
pval: p-value of port, based on chi square with nump
degrees of freedom
jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.
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View source: R/sigex.portmanteau.r
| sigex.portmanteau | R Documentation |
Computes the portmanteau statistic for residuals
Description
Computes the portmanteau statistic for residuals
Usage
sigex.portmanteau(resids, lag, nump)
Arguments
resids |
A T x N matrix of residuals |
lag |
Number of autocorrelation lags used in the statistic |
nump |
Number of parameters that are estimated |
Value
port and pval port: value of the portmanteau test statistic pval: p-value of port, based on chi square with nump degrees of freedom
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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