PRnd {NTS} | R Documentation |
ND Test
Description
Compute the ND test statistic of Pena and Rodriguez (2006, JSPI).
Usage
PRnd(x, m = 10, p = 0, q = 0)
Arguments
x |
time series. |
m |
the maximum number of lag of correlation to test. |
p |
AR order. |
q |
MA order. |
Value
PRnd
function outputs the ND test statistic and its p-value.
References
Pena, D., and Rodriguez, J. (2006) A powerful Portmanteau test of lack of fit for time series. series. Journal of American Statistical Association, 97, 601-610.
Examples
y=arima.sim(n=500,list(ar=c(0.8,-0.6,0.7)))
PRnd(y,10,3,0)
[Package NTS version 1.1.3 Index]