mq function

Multivariate Ljung-Box Q Statistics

Computes the multivariate Ljung-Box statistics for cross-correlation matrices

mq(x, lag = 24, adj = 0)

Arguments

• x: The data matrix of a vector time series or residual series of a fitted multivariate model.
• lag: The number of cross-correlation matrices used. Default is 24.
• adj: Adjustment for the degrees of freedom for the Ljung-Box statistics. This is used for residual series. Default is zero.

Details

Computes the multivariate Ljung-Box statistics and their p-values. For model checking, the subcommand adj can be used to adjust the degrees of freedom of the Chi-square statistics.

Returns

The multivariate Q-statistics and their p-values. Also, it provides a plot of the p-values.

References

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

Examples

x=matrix(rnorm(1500),500,3)
mq(x)