ljungbox_test: Ljung-Box Test

In wjunger/ares: Environmental air pollution epidemiology: a library for time series analysis

Description

Run the Ljung-Box test

Usage

ljungbox_test(x, k = 25, ...)

Arguments

x	a vector, usually of residuals
k	an integer indicating the number of lags to compute the autocorrelation coefficients
...	further options for acf

Details

This function implements the the Ljung-Box test for autocorrelation coefficients. The null hypothesis of the test is H_{0}: ρ(1)=ρ(2)=\cdots=ρ(k) for k<≤ft(n-1\right). The test statistic depends on k.

Value

A list containing the following objects

statistic	the test statistic
p.value	the p-value
df	the degrees of freedom of the chi-squared distribution of the test statistic
n.used	the number of observations used for autocorrelations computation
data.name	the name of the input variable

Author(s)

Washington Junger [e-mail] and Antonio Ponce de Leon [e-mail]

References

Schwartz, J., Spix, C., Touloumi, G. et al. (1996) Methodological issues in studies of air pollution and daily counts of deaths or hospital admissions. J Epidemiol. Community Health 50 (suppl 1), S12–S18.

Spanos, A. (1999) Probability Theory and Statistical Inference. Cambridge.

See Also

get_residuals,acf

Examples

data(admrio)
setup(admrio,"date")
f <- resp5~s(time)+weekdays+s(tmpmax)
m <- fit_core(f)
r <- get_residuals(m)
ljungbox_test(r,25)

wjunger/ares documentation built on Dec. 23, 2021, 5:17 p.m.