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Last data update: 2014.03.03

R: Box-Ljung autocorrelation test

AutocorTest

R Documentation

Box-Ljung autocorrelation test

Description

Ljung-Box test for autocorrelation

Usage

AutocorTest(x, lag=ceiling(log(length(x))),
            type=c("Ljung-Box", "Box-Pierce", "rank"),
            df=lag )

Arguments

`x`	a numeric vector or a univariate time series
`lag`	the statistic will be based on 'lag' autocorrelation coefficients. Tsay (p. 27-28) says, 'Simulation studies suggest that the choice of [lag = log(length(x))] provides better power performance. This general rule needs modification in analysis of seasonal time series for which autocorrelations with lags at multiples of the seasonality are more important.'
`type`	which Box.test 'type' should be used? Partial matching is used. The 'rank' alternative computes 'Ljung-Box' on rank(x); see Burns (2002) and references therein. NOTE: The default 'Ljung-Box' type generally seems to be more accurate and popular than the earlier 'Box-Pierce', which is however the default for 'Box.test'.
`df`	a positive number giving the degrees of freedom for the reference chi-squre distribution used to compute the p-value for the statistic. This makes it easy to call AutocorTest with the residuals from a fit and have the p-value computed with reference to a chi-square with degrees of freedom different from "lag". See the discussion of degrees of freedom for 'Box.test in `ARIMA`.

Details

This is provided for compatibility with 'autocorTest' in the S-Plus script in Tsay (p. 30). It is a wrapper for the R function Box.test.

Value

a list of class 'htest' containing the following components:

`statistic`	a number giving the value of the test statistic.
`paramter`	a number giving the degrees of freedom of the approximate chi-squared distribution of the test statistic used to compute the p.value.
`p.value`	the p-value of the test.
`method`	a character string indicating which type of test was performed. If(df != lag), this character string ends with paste("(lag = ", lag, ")", sep="").

Source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)

Patrick Burns (2002) 'Robustness of the Ljung-Box Test and its Rank Equivalent', http://www.burns-stat.com/pages/Working/ljungbox.pdf, accessed 2007.12.29.

Examples

data(m.ibm2697)
AutocorTest(m.ibm2697, 5)

AT4 <- AutocorTest(m.ibm2697, 5, df=4)
str(AT4) # $method = "Box-Ljung test (lag = 5)"

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

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> library(FinTS)
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/FinTS/AutocorTest.Rd_%03d_medium.png", width=480, height=480)
> ### Name: AutocorTest
> ### Title: Box-Ljung autocorrelation test
> ### Aliases: AutocorTest
> ### Keywords: ts
> 
> ### ** Examples
> 
> data(m.ibm2697)
> AutocorTest(m.ibm2697, 5)

	Box-Ljung test

data:  m.ibm2697
X-squared = 5.4474, df = 5, p-value = 0.3638

> 
> AT4 <- AutocorTest(m.ibm2697, 5, df=4)
> str(AT4) # $method = "Box-Ljung test (lag = 5)"
List of 6
 $ statistic   : Named num 5.45
  ..- attr(*, "names")= chr "X-squared"
 $ parameter   : Named num 4
  ..- attr(*, "names")= chr "df"
 $ p.value     : Named num 0.244
  ..- attr(*, "names")= chr "X-squared"
 $ method      : chr "Box-Ljung test (lag = 5)"
 $ data.name   : chr "m.ibm2697"
 $ Total.observ: int 864
 - attr(*, "class")= chr "htest"
> 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>