Qstat {quantilogram}

Q-statistics

Description

Te Box-Pierece and Ljung-Box type Q-statistics

Usage

Qstat(vecTest, Tsize)

Arguments

vecTest

A vector of test statistics ordered with respect the number of lags

Tsize

A original sample size

Details

This function returns Box-Pierece and Ljung-Box type Q-statistics

Value

the Box-Pierece and Ljung-Box statistics

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

References

Box, G. EP, and D. A. Pierce. (1970). "Distribution of residual autocorrelations in autoregressive-integrated moving average time series models." Journal of the American Statistical Association 65.332, pp.1509-1526.

Ljung, G. M., and G. EP Box. (1978). "On a measure of lack of fit in time series models." Biometrika 65.2, pp.297-303.