Package 'Hassani.SACF'

Title: Computing Lower Bound of Ljung-Box Test
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>.
Authors: Hossein Hassani [aut], Masoud Yarmohammdi [aut], Mohammad Reza Yeganegi [aut], Leila Marvian Mashhad [aut, cre]
Maintainer: Leila Marvian Mashhad <[email protected]>
License: GPL-3
Version: 2.0
Built: 2026-05-11 06:24:07 UTC
Source: https://github.com/cran/Hassani.SACF

Help Index

Computing Lower Bound of Ljung-Box Test

Description

Because of the sensitivity of the Ljung-Box test to the number of lags involved in the test, this function computes lower bound of this test and draws it's plot.

Usage

Q_H(simnum = 10000, TT = 50)

Arguments

simnum

number of simulation iterations.

TT

length of time serie.

Value

Lower bound of the Ljung-Box test and it's plot.

Author(s)

Hossein hassani, Masoud yarmohammdi, Mohammad reza yeganegi and Leila Marvian Mashhad.

References

Hassani, H., & Yeganegi, M. R. (2019). "Sum of squared ACF and the Ljung-Box statistics." Physica A: Statistical Mechanics and Its Applications, 520, 81-86.

See Also

Box.test

Examples

Q_H(simnum = 10000, TT = 100)

Computing Sum of the Sample Autocorrelation Function

Description

The sum of the sample autocorrelation function, found in many standard time series textbooks and software, at lag h is considered. It is shown that this sum is always minus half for any stationary time series with arbitrary length L.

Usage

SACF(x)

Arguments

x

it is stationary time series.

Value

A number. It computes SACF.

Author(s)

Hossein hassani, Masoud yarmohammdi, Mohammad reza yeganegi and Leila Marvian Mashhad.

References

A note on the sum of the sample autocorrelation function Hossein Hassani Statistics Group, Cardiff School of Mathematics, Cardiff University, CF24 4AG, UK 2-Statistical Research and Training Center, Tehran, 1413717911, Iran

See Also

Box.test

Examples

x = rnorm(50,mean = 0,sd = 1)
SACF(x)