Hassani.SACF
CRANHassani.SACFMaRDI QIDQ84512
Computing Lower Bound of Ljung-Box Test
Masoud Yarmohammdi, Hossein Hassani, Leila Marvian Mashhad, Mohammad Reza Yeganegi
Last update: 12 June 2023
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.0, 2.0
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>.
