Hassani.SACF (version 2.0)
Computing Lower Bound of Ljung-Box Test
Description
The Ljung-Box test is one of the most important tests for time series diagnostics and model selection.
The Hassani SACF (Sum of the Sample Autocorrelation Function) Theorem , however, indicates that the sum of sample autocorrelation function is always fix for
any stationary time series with arbitrary length. This package confirms for sensitivity of the Ljung-Box test to
the number of lags involved in the test and therefore it should be used with extra caution.
The Hassani SACF Theorem has been described in : Hassani, Yeganegi and M. R. (2019) .