Sum of squared ACF and the Ljung-box statistics

DOI10.1016/J.PHYSA.2018.12.028OpenAlexW2909425041MaRDI QIDQ2156837

Mohammad Reza Yeganegi, Hossein Hassani

Publication date: 20 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.12.028

zbMATH Keywords

ergodicitylinear processsample autocorrelation functionLjung-box test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Selecting optimal lag order in Ljung-Box test

Cites Work

• Sum of the sample autocorrelation function
• Diagnostic testing of univariate time series models
• On a measure of lack of fit in time series models
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