WeightedPortTest-package {WeightedPortTest}

Weighted Portmanteau Test procedures for Time Series Goodness-of-fit

Description

Two functions that implement the Weighted Portmanteau Statistics from Fisher and Gallagher (2012). The first is essentially a weighted Ljung-Box type test that can be used for fitted ARMA processes or detecting non-linear effects. The second function can be utilized to check the adequacy of a fitted ARCH process. Both are written for backward compatibility.

Details

Package:	WeightedPortTest
Type:	Package
Version:	1.1
Date:	2023-05-23
License:	GPL (>=3)
LazyLoad:	yes

The two functions, Weighted.Box.test() and Weighted.LM.test(), can be used in a similiar to the Box.test() function.

Author(s)

Thomas J. Fisher and Colin M. Gallagher

Maintainer: Thomas J. Fisher <[e-mail]>