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

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

public class LjungBox
extends BoxPierce

The Ljung–Box test (named for Greta M. Ljung and George E. P. Box) 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 Ljung–Box statistic is better for all sample sizes including small ones. In fact, the Ljung–Box statistic was described explicitly in the paper that lead to the use of the Box-Pierce statistic, and from which the statistic takes its name.

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

LjungBox(double[] xt, int lag, int fitdf)

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.test.timeseries.portmanteau.BoxPierce

alternativeHypothesis, nullHypothesis

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

LjungBox

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