Box.Ljung.Test {LSTS}

Ljung-Box Test Plot

Description

Plots the p-values Ljung-Box test.

Usage

Box.Ljung.Test(z, lag = NULL, main = NULL)

Arguments

z

(type: numeric) data vector

lag

(type: numeric) the number of periods for the autocorrelation

main

(type: character) a title for the returned plot

Details

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.

Value

A ggplot object.

References

For more information on theoretical foundations and estimation methods see Brockwell PJ, Davis RA, Calder MV (2002). Introduction to time series and forecasting, volume 2. Springer. Ljung GM, Box GE (1978). “On a measure of lack of fit in time series models.” Biometrika, 65(2), 297–303.

See Also

periodogram

Examples

Box.Ljung.Test(malleco, lag = 5)