Box.test {stats}R Documentation

Box-Pierce and Ljung-Box Tests

Description

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

Usage

Box.test(x, lag = 1, type = c("Box-Pierce", "Ljung-Box"))

Arguments

x a numeric vector or univariate time series.
lag the statistic will be based on lag autocorrelation coefficients.
type test to be performed: partial matching is used.

Value

A list with class "htest" containing the following components:

statistic the value of the test statistic.
parameter the degrees of freedom of the approximate chi-squared distribution of the test statistic.
p.value the p-value of the test.
method a character string indicating which type of test was performed.
data.name a character string giving the name of the data.

Note

Missing values are not handled.

Author(s)

A. Trapletti

References

Box, G. E. P. and Pierce, D. A. (1970), Distribution of residual correlations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65, 1509–1526.

Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time series models. Biometrika 65, 553–564.

Harvey, A. C. (1993) Time Series Models. 2nd Edition, Harvester Wheatsheaf, NY, pp. 44, 45.

Examples

x <- rnorm (100)
Box.test (x, lag = 1)
Box.test (x, lag = 1, type="Ljung")
[Package stats version 2.4.1 Index]