stat_arch_lm

Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the \(R^2\) value of an autoregressive model of order <code>lags</code> applied
to \(x^2\).

Provides a collection of features, decomposition methods,
statistical summaries and graphics functions for the analysing tidy time
series data. The package name 'feasts' is an acronym comprising of its key
features: Feature Extraction And Statistics for Time Series.

Mitchell O'Hara-Wild

feasts

Feature Extraction and Statistics for Time Series

Rob Hyndman

Earo Wang

Di Cook

Thiyanga Talagala

Leanne Chhay

stat_arch_lm function

<dl><dt>x</dt>
<dd>a univariate time series</dd>
<dt>lags</dt>
<dd>Number of lags to use in the test</dd>
<dt>demean</dt>
<dd>Should data have mean removed before test applied?</dd></dl>

Arguments

Author

ARCH LM Statistic — stat_arch_lm

<dl>

<dt>x</dt>
<dd>a univariate time series</dd>


<dt>lags</dt>
<dd>Number of lags to use in the test</dd>


<dt>demean</dt>
<dd>Should data have mean removed before test applied?</dd>

</dl>

stat_arch_lm: ARCH LM Statistic

Description

Usage

Value

Arguments

Author