Multivariate Ljung-Box Q Statistics
Computes the multivariate Ljung-Box statistics for cross-correlation matrices
mq(x, lag = 24, adj = 0)
x |
The data matrix of a vector time series or residual series of a fitted multivariate model. |
lag |
The number of cross-correlation matrices used. Default is 24. |
adj |
Adjustment for the degrees of freedom for the Ljung-Box statistics. This is used for residual series. Default is zero. |
Computes the multivariate Ljung-Box statistics and their p-values. For model checking, the subcommand adj can be used to adjust the degrees of freedom of the Chi-square statistics.
The multivariate Q-statistics and their p-values. Also, it provides a plot of the p-values.
Ruey S. Tsay
Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
x=matrix(rnorm(1500),500,3) mq(x)
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