Hassani.SACF: Computing Lower Bound of Ljung-Box Test
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>.
| Version: |
2.0 |
| Published: |
2023-06-12 |
| DOI: |
10.32614/CRAN.package.Hassani.SACF |
| Author: |
Hossein Hassani [aut],
Masoud Yarmohammdi [aut],
Mohammad Reza Yeganegi [aut],
Leila Marvian Mashhad [aut, cre] |
| Maintainer: |
Leila Marvian Mashhad <Leila.marveian at gmail.com> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| CRAN checks: |
Hassani.SACF results |
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