Selecting optimal lag order in Ljung-Box test

DOI10.1016/J.PHYSA.2019.123700OpenAlexW2994854027WikidataQ126564013 ScholiaQ126564013MaRDI QIDQ2137647FDOQ2137647

Authors: Hossein Hassani, Mohammad Reza Yeganegi 

Publication date: 16 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123700

zbMATH Keywords

sample autocorrelation functionLjung-Box testtest's actual sizetest's power

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Title not available (Why is that?)
• On a measure of lack of fit in time series models
• Time series analysis and its applications. With R examples
• Title not available (Why is that?)
• Diagnostic testing of univariate time series models
• Analysis of financial time series
• Sum of squared ACF and the Ljung-Box statistics
• Sum of the sample autocorrelation function

Cited In (2)

• Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models
• Constructing Optimal tests on a Lagged dependent variable

Uses Software

• astsa
• TSA
• fpp2

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