Selecting optimal lag order in Ljung-Box test

DOI10.1016/J.PHYSA.2019.123700MaRDI QIDQ2137647zbMATH OpenOpenAlexWikidataFDO

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

• scientific article; zbMATH DE number 5223072 (Why is no real title available?)
• scientific article; zbMATH DE number 3103039 (Why is no real title available?)
• Analysis of financial time series
• Diagnostic testing of univariate time series models
• On a measure of lack of fit in time series models
• Sum of squared ACF and the Ljung-Box statistics
• Sum of the sample autocorrelation function
• Time series analysis and its applications. With R examples

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

Describes a project that uses

Uses Software

• fpp2
• TSA
• astsa

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