com.numericalmethod.suanshu.stats.test.timeseries.portmanteau
Class BoxPierce

java.lang.Object
  com.numericalmethod.suanshu.stats.test.HypothesisTest
      com.numericalmethod.suanshu.stats.test.timeseries.portmanteau.BoxPierce

Direct Known Subclasses:

LjungBox

public class BoxPierce
extends HypothesisTest

The Box–Pierce test (named for George E. P. Box and David A. Pierce) is a portmanteau test for autocorrelated errors. A portmanteau test tests whether any of a group of autocorrelations of a time series are different from zero.

The Box–Pierce statistic is computed as the weighted sum of squares of a sequence of autocorrelations.

The R equivalent function is Box.test.

See Also:

• Wikipedia: Box–Pierce test
• Wikipedia: Portmanteau test

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

k, N, pValue, testStatistics

Constructor Summary

BoxPierce(double[] xt, int lag, int fitdf)
Compute the Box–Pierce test statistic for examining the null hypothesis of independence in a given time series.

Method Summary

java.lang.String	alternativeHypothesis() Get a description of the alternative hypothesis.
java.lang.String	nullHypothesis() Get a description of the null hypothesis.

Methods inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

oneSidedPvalue, pValue, rejectNull, testStatistics

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BoxPierce

public BoxPierce(double[] xt,
                 int lag,
                 int fitdf)

Compute the Box–Pierce test statistic for examining the null hypothesis of independence in a given time series.

Parameters:

xt - a univariate time series

lag - the statistic will be based on lag autocorrelation coefficients

fitdf - number of degrees of freedom to be subtracted if x is a series of residuals

Method Detail

nullHypothesis

public java.lang.String nullHypothesis()

Description copied from class: HypothesisTest

Get a description of the null hypothesis.

Specified by:

nullHypothesis in class HypothesisTest

Returns:

the null hypothesis description

See Also:

Wikipedia: Null hypothesis

alternativeHypothesis

public java.lang.String alternativeHypothesis()

Description copied from class: HypothesisTest

Get a description of the alternative hypothesis.

Specified by:

alternativeHypothesis in class HypothesisTest

Returns:

the alternative hypothesis description

See Also:

Wikipedia: Alternative hypothesis