If pierce is TRUE, then the Box-Pierce test
for examining the null of independence in the time series x is
computed. Else the Box-Ljung statistic is computed. Uses
lag autocorrelation coefficients for the statistic.
Missing values are not handled.
Usage
box.test (x, lag = 1, pierce = TRUE)
Arguments
x
a numeric vector or time series.
lag
a scalar lag parameter.
pierce
a logical indicating whether the
Box-Pierce or the Box-Ljung test is computed.
Value
A list with class "htest" containing the following components:
statisticthe value of the test statistic.
parameterthe degrees of freedom of the approximate chi-square
distribution of the test statistic.
p.valuethe p-value of the test.
methoda character string indicating what type of test was
performed.
data.namea character string giving the name of the data.
References
A. C. Harvey (1993): Time Series Models,
2nd Edition, Harvester Wheatsheaf, NY, pp. 44, 45.