Box.test                 package:ts                 R Documentation

Box-Pierce and Ljung-Box Tests

Description:

     Compute the Box-Pierce or Ljung-Box test statistic for examining
     the null hypothesis of independence in the time series `x' is
     computed.

Usage:

     Box.test (x, lag = 1, type=c("Box-Pierce", "Ljung-Box"))

Arguments:

       x: a numeric vector or univariate time series.

     lag: the statistic will be based on `lag' autocorrelation
          coefficients.

    type: test to be performed: partial matching is used.

Value:

     A list with class `"htest"' containing the following components: 

statistic: the value of the test statistic.

parameter: the degrees of freedom of the approximate chi-squared
          distribution of the test statistic.

 p.value: the p-value of the test.

  method: a character string indicating which type of test was
          performed.

data.name: a character string giving the name of the data.

Note:

     Missing values are not handled.

Author(s):

     A. Trapletti

References:

     Box, G. E. P. and Pierce, D. A. (1970) Distribution of residual
     correlations in autoregressive-integrated moving average time
     series models. Journal of the American Statistical Association 65,
     1509-1526.

     Ljung, G. M. and Box, G. E. P. (1978) On a measure of lack of fit
     in time series models. Biometrika 65, 553-564.

     Harvey, A. C. (1993) Time Series Models, 2nd Edition, Harvester
     Wheatsheaf, NY, pp. 44, 45.

Examples:

     x <- rnorm (100)
     Box.test (x, lag = 1)
     Box.test (x, lag = 1, type="Ljung")

