| periodic_acf1_test {pcts} | R Documentation |
McLeod's test for periodic autocorrelation
Description
Performs McLeod's test for periodic autocorrelation.
Usage
periodic_acf1_test(acf, nepochs)
Arguments
acf |
sample periodic autocorrelation function |
nepochs |
the number of epochs used to get the acf |
Details
The test statistic is a scaled sum of squares of lag 1 sample periodic autocorrelation coefficients, see McLeod (1993), eq. (5). The distribution is approximately chi-square under the null hypothesis of no periodic autocorrelation.
Value
A list containing the following components:
statistic |
the value of the test statistic. |
pvalue |
the p-value associated with the test statistic. |
Author(s)
Georgi N. Boshnakov
References
McLeod AI (1993). “Parsimony, model adequacy and periodic correlation in time series forecasting.” Internat. Statist. Rev., 61(3), 387-393.
McLeod AI (1994). “Diagnostic checking of periodic autoregression models with application.” Journal of Time Series Analysis, 15(2), 221–233.
McLeod AI (1995). “Diagnostic checking of periodic autoregression models with application.” Journal of Time Series Analysis, 16(6), 647-648. doi:10.1111/j.1467-9892.1995.tb00260.x, This corrects some typos in the eponimous article McLeod (1994).