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) .


Reference manual

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install.packages("Hassani.SACF")

2.0 by Leila Marvian Mashhad, 3 years ago


Browse source code at https://github.com/cran/Hassani.SACF


Authors: Hossein Hassani [aut] , Masoud Yarmohammdi [aut] , Mohammad Reza Yeganegi [aut] , Leila Marvian Mashhad [aut, cre]


Documentation:   PDF Manual  


GPL-3 license



See at CRAN