Package smile.timeseries

Class BoxTest

java.lang.Object

smile.timeseries.BoxTest

public class BoxTest
extends Object

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

Nested Class Summary

Nested Classes

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

Field Summary

Fields

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

Method Summary

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

Methods inherited from class java.lang.Object

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

Field Details

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 Details

toString

public String toString()

Overrides:

toString in class 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.

Returns:

the test results.

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.

Returns:

the test results.