Compute Ljung-Box test to check the independence of a data.
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-correlations are considered in the test. Ifsign = -1
, only negative auto-correlations are considered. Ifsign = 0
, all auto-correlations are integrated in the test.- mean
Mean correction. If
TRUE
, the auto-correlations are computed as usual. IfFALSE
, 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: 0.7182884
#> P-Value: 0.3967
ljungbox(ABS$X0.2.09.10.M, lag = 24, k = 1)
#> Value: 350.021
#> P-Value: 0.0000