Hassani.SACF (Q84512): Difference between revisions
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| Property / last update: 19 December 2022 / rank | |||||||||||||||
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| Property / author: Hossein Hassani / rank | |||||||||||||||
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| Property / author: Masoud Yarmohammdi / rank | |||||||||||||||
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| Property / author: Mohammad Reza Yeganegi / rank | |||||||||||||||
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| Property / author: Leila Marvian Mashhad / rank | |||||||||||||||
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| Property / copyright license: GNU General Public License, version 3.0 / rank | |||||||||||||||
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| Property / cites work: Sum of squared ACF and the Ljung–Box statistics / rank | |||||||||||||||
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publication date: 12 June 2023
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12 June 2023
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| Property / last update: 12 June 2023 / rank | |||||||||||||||
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The Ljung-Box test is one of the most important tests for time series diagnostics and model selection. The Hassani SACF (Sum of the Sample Autocorrelation Function) Theorem , however, indicates that the sum of sample autocorrelation function is always fix for any stationary time series with arbitrary length. This package confirms for sensitivity of the Ljung-Box test to the number of lags involved in the test and therefore it should be used with extra caution. The Hassani SACF Theorem has been described in : Hassani, Yeganegi and M. R. (2019) <doi:10.1016/j.physa.2018.12.028>. | |||||||||||||||
| Property / description: The Ljung-Box test is one of the most important tests for time series diagnostics and model selection. The Hassani SACF (Sum of the Sample Autocorrelation Function) Theorem , however, indicates that the sum of sample autocorrelation function is always fix for any stationary time series with arbitrary length. This package confirms for sensitivity of the Ljung-Box test to the number of lags involved in the test and therefore it should be used with extra caution. The Hassani SACF Theorem has been described in : Hassani, Yeganegi and M. R. (2019) <doi:10.1016/j.physa.2018.12.028>. / rank | |||||||||||||||
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| Property / author: Hossein Hassani / rank | |||||||||||||||
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| Property / author: Masoud Yarmohammdi / rank | |||||||||||||||
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| Property / author | |||||||||||||||
| Property / author: Mohammad Reza Yeganegi / rank | |||||||||||||||
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| Property / author | |||||||||||||||
| Property / author: Leila Marvian Mashhad / rank | |||||||||||||||
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| Property / copyright license: GNU General Public License, version 3.0 / rank | |||||||||||||||
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| Property / cites work: Sum of squared ACF and the Ljung–Box statistics / rank | |||||||||||||||
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Latest revision as of 19:56, 12 March 2024
Computing Lower Bound of Ljung-Box Test
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hassani.SACF |
Computing Lower Bound of Ljung-Box Test |
Statements
12 June 2023
0 references
The Ljung-Box test is one of the most important tests for time series diagnostics and model selection. The Hassani SACF (Sum of the Sample Autocorrelation Function) Theorem , however, indicates that the sum of sample autocorrelation function is always fix for any stationary time series with arbitrary length. This package confirms for sensitivity of the Ljung-Box test to the number of lags involved in the test and therefore it should be used with extra caution. The Hassani SACF Theorem has been described in : Hassani, Yeganegi and M. R. (2019) <doi:10.1016/j.physa.2018.12.028>.
0 references
