ljung.wge

Performs Ljung-Box Test for white noise

 white noise 

 Ljung-Box test

Accompanies the texts Time Series for Data Science with R by Woodward, Sadler and Robertson & Applied Time Series Analysis with R, 2nd edition by Woodward, Gray, and Elliott.  It is helpful for data analysis and for time series instruction.

Bivin Sadler

tswge

Time Series for Data Science

ljung.wge function

<dl> <dt>x</dt>
<dd>Realization to assess for white noise</dd> <dt>K</dt>
<dd>Maximum lag for sample autocorrelations to be used in test</dd> <dt>p</dt>
<dd>If x is a realization of residuals from an ARMA(p,q) fit then p=AR order. Otherwise, p=0</dd> <dt>q</dt>
<dd>If x is a realization of residuals from an ARMA(p,q) fit then q=MA order. Otherwise, q=0</dd></dl>

Arguments

Author

Ljung-Box Test — ljung.wge

<dl>

 <dt>x</dt>
<dd>Realization to assess for white noise</dd>

 <dt>K</dt>
<dd>Maximum lag for sample autocorrelations to be used in test</dd>

 <dt>p</dt>
<dd>If x is a realization of residuals from an ARMA(p,q) fit then p=AR order. Otherwise, p=0</dd>

 <dt>q</dt>
<dd>If x is a realization of residuals from an ARMA(p,q) fit then q=MA order. Otherwise, q=0</dd>

</dl>

ljung.wge: Ljung-Box Test

Description

Usage

Value

Arguments

Author

References

Examples