SACF

The sum of the sample autocorrelation function, found in many standard
time series textbooks and software, at lag h is considered. 
It is shown that this sum is always minus half for any stationary time series with 
arbitrary length L.

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) <doi:10.1016/j.physa.2018.12.028>.

Leila Marvian Mashhad

Hassani.SACF

Computing Lower Bound of Ljung-Box Test

Hossein Hassani

Masoud Yarmohammdi

Mohammad Reza Yeganegi

SACF function

<dl> <dt>x</dt>
<dd>it is stationary time series.</dd></dl>

Arguments

Hossein hassani, Masoud yarmohammdi, Mohammad reza yeganegi and Leila Marvian Mashhad.

Author

Computing Sum of the Sample Autocorrelation Function — SACF

<dl>

 <dt>x</dt>
<dd>it is stationary time series.</dd>

</dl>

SACF: Computing Sum of the Sample Autocorrelation Function

Description

Usage

Value

Arguments

Author

References

See Also

Examples