Two functions that implement the Weighted Portmanteau Statistics from Fisher and Gallagher (2012). The first is essentially a weighted Ljung-Box type test that can be used for fitted ARMA processes or detecting non-linear effects. The second function can be utilized to check the adequacy of a fitted ARCH process. Both are written for backward compatibility.
Thomas J. Fisher and Colin M. Gallagher
Maintainer: Thomas J. Fisher <fishert4@miamioh.edu>
| Package: | WeightedPortTest |
| Type: | Package |
| Version: | 1.1 |
| Date: | 2023-05-23 |
| License: | GPL (>=3) |
| LazyLoad: | yes |
The two functions, Weighted.Box.test() and Weighted.LM.test(), can be used in a similiar to the Box.test() function.