[R] Box-Ljung p-value -> Test for Independence
anataraj at cs.uoregon.edu
Sat Apr 17 08:10:52 CEST 2004
I'm using the Box-Ljung test (from within R) to test if a time-series in
1) p-value returned by Box-Ljung:
IF I want to test if the time-series is independant at say 0.05
sig-level (it means that prob of erroneously accepting that the
time-series is independent is 0.05 right?)
--> then do I consider time-series as "independant" when
--> p-value (from Box-Ljung) > 0.05
--> p-value < 0.05
Or should i be using (0.95) instead of (0.05) for this case. I'm
confused about this (this is a goodness-of-fit test?).
2) Box-Ljung takes a lag argument, say lag=k.
Does it check "all lags upto k"
Does it check "only AT k" (i.e acf val is small at only k?)
thank you in advance. I apologize if the questions are very basic.
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