| mq {MTS} | R Documentation |
Multivariate Ljung-Box Q Statistics
Description
Computes the multivariate Ljung-Box statistics for cross-correlation matrices
Usage
mq(x, lag = 24, adj = 0)
Arguments
x |
The data matrix of a vector time series or residual series of a fitted multivariate model. |
lag |
The number of cross-correlation matrices used. Default is 24. |
adj |
Adjustment for the degrees of freedom for the Ljung-Box statistics. This is used for residual series. Default is zero. |
Details
Computes the multivariate Ljung-Box statistics and their p-values. For model checking, the subcommand adj can be used to adjust the degrees of freedom of the Chi-square statistics.
Value
The multivariate Q-statistics and their p-values. Also, it provides a plot of the p-values.
Author(s)
Ruey S. Tsay
References
Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Examples
x=matrix(rnorm(1500),500,3)
mq(x)