diag_portmanteau_ {simts}

Portmanteau Tests

Description

Performs the Portmanteau test to assess the Null Hypothesis of Independence in a Time Series

Usage

diag_portmanteau_(
  x,
  order = NULL,
  stop_lag = 20,
  stdres = FALSE,
  test = "Ljung-Box",
  plot = TRUE
)

Arguments

x

An arima or data set.

order

An integer indicating the degrees of freedom. If 'x' is not a series of residuals, then set equal to 0.

stop_lag

An integer indicating the length of lags that should be calculated.

stdres

A boolean indicating whether to standardize the residualizes (e.g. res/sd(res)) or not.

test

A string indicating whether to perform Ljung-Box test or Box-Pierce test.

plot

A logical. If TRUE (the default) a plot should be produced.

Author(s)

James Balamuta, Stéphane Guerrier, Yuming Zhang