ljung.wge {tswge}

Ljung-Box Test

Description

Performs Ljung-Box Test for white noise

Usage

ljung.wge(x, K = 24, p = 0, q = 0)

Arguments

x

Realization to assess for white noise

K

Maximum lag for sample autocorrelations to be used in test

p

If x is a realization of residuals from an ARMA(p,q) fit then p=AR order. Otherwise, p=0

q

If x is a realization of residuals from an ARMA(p,q) fit then q=MA order. Otherwise, q=0

Value

test

Name of test for output: Ljung-Box Test

K

Maximum lag : same as input value

chi.square

Value of chi-square statistic

df

Degrees of freedom = K-p-q

pvalue

pvalue for testing null hypothesis of white noise

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

data(fig1.22a)
ljung.wge(fig1.22a, K=24,p=0,q=0)