WeightedBoxTest function

WeightedBoxTest

Weighted portmanteau tests for testing the null hypothesis of adequate ARMA fit and/or for detecting nonlinear processes. Written in the style of Box.test() and is capable of performing the traditional Box Pierce (1970), Ljung Box (1978) or Monti (1994) tests.

WeightedBoxTest(
  x,
  lag = 1,
  type = c("Box-Pierce", "Ljung-Box", "Monti"),
  fitdf = 0,
  sqrd.res = FALSE,
  log.sqrd.res = FALSE,
  abs.res = FALSE,
  weighted = TRUE
)

Arguments

• x: a numeric vector or univariate time series, or residuals of a fitted time series
• lag: the statistic will be based on lag autocorrelation coefficients. lag=1 by default
• type: test to be performed, partial matching is used. "Box-Pierce" by default
• fitdf: number of degrees of freedom to be subtracted if x is a series of residuals, set at 0 by default
• sqrd.res: A flag, should the series/residuals be squared to detect for nonlinear effects?, FALSE by default
• log.sqrd.res: A flag, should a log of the squared series/residuals be used to detect for nonlinear effects? FALSE by default
• abs.res: A flag, should the absolute series or residuals be used to detect for nonlinear effects? FALSE by default
• weighted: A flag determining if the weighting scheme should be utilized. TRUE by default. If set to FALSE, the traditional test is performed with no weights

Returns

Get Uninformative Prior

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.

Fisher, T. J. and Gallagher, C. M. (2012), New Weighted Portmanteau Statistics for Time Series Goodness-of-Fit Testing. Journal of the American Statistical Association, accepted.

Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time series models. Biometrika 65, 297-303.

Mahdi, E. and McLeod, A. I. (2012), Improved multivariate portmanteau test. Journal of Time Series Analysis 65(2), 297-303.

Monti, A. C. (1994), A proposal for a residual autocorrelation test in linear models. Biometrika 81(4), 776-780.

Pena, D. and Rodriguez, J. (2002) A powerful portmanteau test of lack of fit for time series. Journal of the American Statistical Association 97(458), 601-610.

Author(s)

David Gabauer