Ljung-Box Test

Compute Ljung-Box test to check the independence of a data.

Usage

ljungbox(data, k = 1, lag = 1, nhp = 0, sign = 0, mean = TRUE)

Arguments

data

data being tested.

k

number of auto-correlations used in the test

lag

number of lags used between two auto-correlations.

nhp

number of hyper parameters (to correct the degree of freedom)

sign

if sign = 1, only positive auto-corrrelations are considered in the test. If sign = -1, only negative auto-correlations are considered. If sign = 0, all auto-correlations are integrated in the test.

mean

Mean correction. If TRUE, the auto-correlations are computed as usual. If FALSE, we consider that the (known) mean is 0 and that the series has been corrected for it.

Value

A c("JD3_TEST", "JD3") object (see statisticaltest() for details).

Examples

ljungbox(random_t(2, 100), lag = 24, k =1)
#> Value: 0.5529644 
#> P-Value: 0.4571 
ljungbox(ABS$X0.2.09.10.M, lag = 24, k =1)
#> Value: 350.021 
#> P-Value: 0.0000