Box.test(x, lag = 1, type = c("Box-Pierce", "Ljung-Box"), fitdf = 0)
lag
autocorrelation
coefficients.x
is a series of residuals."htest"
containing the following components:
fitdf
into account.ARMA(p, q)
fit, in which case the references suggest a better
approximation to the null-hypothesis distribution is obtained by
setting fitdf = p+q
, provided of course that lag > fitdf
.
Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time series models. Biometrika 65, 297--303.
Harvey, A. C. (1993) Time Series Models. 2nd Edition, Harvester Wheatsheaf, NY, pp.\ifelse{latex}{\out{~}}{ } 44, 45.
x <- rnorm (100)
Box.test (x, lag = 1)
Box.test (x, lag = 1, type = "Ljung")
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