smile.timeseries

Class BoxTest

java.lang.Object

smile.timeseries.BoxTest

public class BoxTest
extends java.lang.Object

Portmanteau test jointly that several autocorrelations of time series are zero.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	BoxTest.Type The type of test.

Field Summary

Fields

Modifier and Type	Field and Description
int	df The degree of freedom.
double	pvalue p-value
double	q Box-Pierce or Ljung-Box statistic.
BoxTest.Type	type The type of test.

Method Summary

Modifier and Type	Method and Description
static BoxTest	ljung(double[] x, int lag) Box-Pierce test.
static BoxTest	pierce(double[] x, int lag) Box-Pierce test.
java.lang.String	toString()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Field Detail

type

public final BoxTest.Type type

The type of test.

df

public final int df

The degree of freedom.

q

public final double q

Box-Pierce or Ljung-Box statistic.

pvalue

public final double pvalue

p-value

Method Detail

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object

pierce

public static BoxTest pierce(double[] x,
                             int lag)

Box-Pierce test.

Parameters:

x - time series

lag - the statistic will be based on lag autocorrelation coefficients.

ljung

public static BoxTest ljung(double[] x,
                            int lag)

Box-Pierce test.

Parameters:

x - time series

lag - the statistic will be based on lag autocorrelation coefficients.