Weighted Portmanteau Test procedures for Time Series Goodness-of-fit
加权时间序列的拟合优度的的混成测试程序
译者:生物统计家园网 机器人LoveR
描述----------Description----------
Two functions that implement the Weighted Portmanteau Statistics from Fisher and Gallagher (2012). The first is essentially a weighted Ljung-Box type test that can be used for fitted ARMA processes or detecting non-linear effects. The second function can be utilized to check the adequacy of a fitted ARCH process. Both are written for backward compatibility.
两个功能实现费舍尔和Gallagher(2012年)加权混成统计。第一,本质上是一个加权Ljung盒类型的测试,可用于拟合ARMA进程或检测的非线性效应。第二个功能可以用来检查是否有足够的拟合ARCH进程。它们都写的向后兼容性。
Details
详细信息----------Details----------
The two functions, Weighted.Box.test() and Weighted.LM.test(), can be used in a similiar to the Box.test() function.
这两个函数,Weighted.Box.test()和Weighted.LM.test(),可以使用在一个类似的Box.test()函数。
(作者)----------Author(s)----------
Thomas J. Fisher and Colin M. Gallagher
Maintainer: Thomas J. Fisher <fishertho@umkc.edu>