ljungbox: Ljung-Box Test

In palatej/rjd3toolkit: Utility Functions around 'JDemetra+ 3.0'

Ljung-Box Test

Description

Compute Ljung-Box test to check the independence of a data.

Usage

ljungbox(data, k = 1, lag = 1, nhp = 0, sign = 0, mean = TRUE)

Arguments

data	data being tested.
k	number of auto-correlations used in the test
lag	number of lags used between two auto-correlations.
nhp	number of hyper parameters (to correct the degree of freedom)
sign	if sign = 1, only positive auto-correlations are considered in the test. If sign = -1, only negative auto-correlations are considered. If sign = 0, all auto-correlations are integrated in the test.
mean	Mean correction. If TRUE, the auto-correlations are computed as usual. If FALSE, we consider that the (known) mean is 0 and that the series has been corrected for it.

Value

A c("JD3_TEST", "JD3") object (see statisticaltest() for details).

Examples

ljungbox(random_t(2, 100), lag = 24, k = 1)
ljungbox(ABS$X0.2.09.10.M, lag = 24, k = 1)

palatej/rjd3toolkit documentation built on Oct. 30, 2024, 10:46 p.m.