View source: R/box_ljung_test.R
Box.Ljung.Test | R Documentation |
Plots the p-values Ljung-Box test.
Box.Ljung.Test(z, lag = NULL, main = NULL)
z |
(type: numeric) data vector |
lag |
(type: numeric) the number of periods for the autocorrelation |
main |
(type: character) a title for the returned plot |
The Ljung-Box test is used to check if exists autocorrelation in a time series. The statistic is
q = n(n+2)\cdot\sum_{j=1}^h \hat{\rho}(j)^2/(n-j)
with n the
number of observations and \hat{\rho}(j)
the autocorrelation
coefficient in the sample when the lag is j. LSTS_lbtp
computes q
and returns the p-values graph with lag j.
A ggplot object.
For more information on theoretical foundations and estimation methods see \insertRefbrockwell2002introductionLSTS \insertRefljung1978measureLSTS
periodogram
Box.Ljung.Test(malleco, lag = 5)
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