whitening_test {MultiVarSel}

This function provides the p-value of an adaptation of the Portmanteau statistic to test if there is some dependence in the rows of the residuals matrix given as an argument of the function.

Description

This function provides the p-value of an adaptation of the Portmanteau statistic to test if there is some dependence in the rows of the residuals matrix given as an argument of the function.

Usage

whitening_test(residuals)

Arguments

residuals

the residuals matrix obtained by fitting a linear model to each column of the response matrix as if they were independent

Value

the p-value of a whitening test. If the p-value is small (generally smaller than 0.05) it means that the hypothesis that each row of the residuals matrix is a white noise, is rejected.

Examples

data(copals_camera)
Y <- scale(Y[, 1:100])
X <- model.matrix(~ group + 0)
residuals <- lm(as.matrix(Y) ~ X - 1)$residuals
whitening_test(residuals)