Portmanteau tests

Compute the Box–Pierce or Ljung–Box test statistic for examining the null hypothesis of independence in a given time series. These are sometimes known as ‘portmanteau’ tests.

ljung_box(x, lag = 1, dof = 0, ...)

box_pierce(x, lag = 1, dof = 0, ...)

portmanteau_tests

Arguments

x	A numeric vector
lag	The number of lag autocorrelation coefficients to use in calculating the statistic
dof	Degrees of freedom of the fitted model (useful if x is a series of residuals).
...	Unused.

Format

An object of class list of length 2.

See also

stats::Box.test()

Examples

ljung_box(rnorm(100))
#>   lb_stat lb_pvalue 
#> 0.8217113 0.3646803 

box_pierce(rnorm(100))
#>   bp_stat bp_pvalue 
#> 1.5322187 0.2157798