Q_H {Hassani.SACF}

Computing Lower Bound of Ljung-Box Test

Description

Because of the sensitivity of the Ljung-Box test to the number of lags involved in the test, this function computes lower bound of this test and draws it's plot.

Usage

Q_H(simnum = 10000, TT = 50)

Arguments

simnum

number of simulation iterations.

TT

length of time serie.

Value

Lower bound of the Ljung-Box test and it's plot.

Author(s)

Hossein hassani, Masoud yarmohammdi, Mohammad reza yeganegi and Leila Marvian Mashhad.

References

Hassani, H., & Yeganegi, M. R. (2019). "Sum of squared ACF and the Ljung-Box statistics." Physica A: Statistical Mechanics and Its Applications, 520, 81-86.

See Also

Box.test

Examples

Q_H(simnum = 10000, TT = 100)