Displaying 20 results from an estimated 1000 matches similar to: "can Box test the Ljung Box test say which ARIMA model is better?"
2004 Apr 17
3
Box-Ljung p-value -> Test for Independence
Hi all
I'm using the Box-Ljung test (from within R) to test if a time-series in
independently distributed.
2 questions:
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"
2012 Jun 26
2
Ljung-Box test (Box.test)
I fit a simple linear model y = bX to a data set today, and that produced 24 residuals (I have 24 data points, one for each year from 1984-2007). I would like to test the time-independence of the residuals of my model, and I was recommended by my supervisor to use the Ljung-Box test. The Box.test function in R takes 4 arguments:
x a numeric vector or univariate time series.
lag the statistic
2011 Aug 27
1
Degrees of freedom in the Ljung-Box test
Dear list members,
I have 982 quotations of a given stock index and I want to run a Ljung-Box
test on these data to test for autocorrelation. Later on I will estimate 8
coefficients.
I do not know how many degrees of freedom should I assume in the formula for
Ljung-Box test. Could anyone tell me please?
Below the formula:
Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf = 0)
2007 Apr 25
1
Box Ljung Statistics
Hi All R Experts,
I met with below mentioned statistics in paper "Stock Index Volatility
Forecasting with High Frequency Data"
by Eugenie Hol, Siem Jan Koopman
http://ideas.repec.org/p/dgr/uvatin/20020068.html
I would like to ask that what is "Box-Ljung portmantacau statistic based
on N squared autocorrelation" ?
Is it same as "Box-Ljung Statistics" of stats
2009 Mar 31
1
Jarque-Bera test and Ljung-Box test for multivariate time series
Hi!
I know that there is function in fBasics package for univariate Jarque-Bera
test and a funtion for univariate Ljung-Box test in stats package. But I am
wondering if there is a function somewhere to do the tests for multivariate
time series?
Thanks,
John
[[alternative HTML version deleted]]
2010 Jun 24
4
Simple qqplot question
I am a beginner in R, so please don't step on me if this is too
simple. I have two data sets datax and datay for which I created a
qqplot
qqplot(datax,datay)
but now I want a line that indicates the perfect match so that I can
see how much the plot diverts from the ideal. This ideal however is
not normal, so I think qqnorm and qqline cannot be applied.
Perhaps you can help?
Ralf
2005 Jul 02
1
probability-probability plot
Hi, there.
Is there any function in R to plot the probability-probability plot (PP
plot)? Suppose I am testing some data against normal.
Thanks.
Yulei
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yuleih at umich.edu
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2009 Apr 26
3
Flipping axes of qqnorm
Hi all,
I have just started using R to produce qqnorm plots. I am trying to
switch the x and y axes so that the theoretical values are plotted on the y
axis and my data on the x axis. Can anyone help me with this?
Thanks
--
View this message in context: http://www.nabble.com/Flipping-axes-of-qqnorm-tp23248007p23248007.html
Sent from the R help mailing list archive at Nabble.com.
2011 Mar 20
2
Why unique(sample) decreases the performance ?
Hi,
I' am interested in differences between sample's result when samples consist
of full elements and consist of only distinct elements. When sample consist
of full elements it take about 120 sec., but when consist of only distinct
elements it take about 4.5 or 5 times more sec. I expected that opposite of
this result, because unique(sample) has less elements than full sample. Code
as
2011 Jan 17
1
Problem about for loop
Hi everyones, my function like;
e <- rnorm(n=50, mean=0, sd=sqrt(0.5625))
x0 <- c(rep(1,50))
x1 <- rnorm(n=50,mean=2,sd=1)
x2 <- rnorm(n=50,mean=2,sd=1)
x3 <- rnorm(n=50,mean=2,sd=1)
x4 <- rnorm(n=50,mean=2,sd=1)
y <- 1+ 2*x1+4*x2+3*x3+2*x4+e
x2[1] = 10 #influential observarion
y[1] = 10 #influential observarion
data.x <- matrix(c(x0,x1,x2,x3,x4),ncol=5)
data.y
2009 Mar 02
2
R-code help for filtering with for loop
Dear Sir / Madam,
I am new for R coding. Kindly help me out in sorting out the following problem.
There are 50 rows with six coloumns(you could see in the attached .txt file). I
wish to go for filtering this 50 rows for any one of the six coloumns
satisfying the value >= 64.
I need to have a final table with rows having >= 64 value in any one of the six
coloumns and the rest could be
2006 Feb 15
1
question about the results given by the Box.test?
Hello, I am using the Ljung Box test in R to compute
if the resiudals of my fitted model is random or not.
I am not sure though what the results mean, I have
looked at various sources on the internet and have
come up with contrasting explanations (mainly because
these info deal with different program languages, like
SAS, SPSS, etc).
I know that my residuals should appropriate white
noise( is
2011 Feb 25
0
time series with NA - acf - tsdiag - Ljung-Box
Hi all,
I am modelling a time series with missing data.
*Q1)* However, I am not sure if I should use the next *graphics* to
understand my data:
*a)* ACF & PACF (original series)
*b)* ACF & PACF (residuals)
* *
*Q2)* I am using *tsdiag*, so I obtain a graphic with 3 plots: stand.
residuals vs time; acf for residuals; Ljung-Box for residuals (it is wrong
for residuals).
I know that using
2009 Feb 03
1
Time series plots with ggplot
Hi,
I am newbie user of ggplot and would like some assistance in
implementing time series plots.
I'd like to know how the tsdiag plot can be made in ggplot?
Thanks
Harsh Singhal
Decisions Systems,
Mu Sigma Inc.
2008 May 16
2
Box.test degrees of freedom
Dear colleagues,
I am new to R and statistics so please keep that in mind.
I have doubts on the df calculation of Ljung-Box test (Box.test). The
function seems to use always the df=lag=m and not df=m-p-q like suggested in
Ljung and Box (1978) paper (that is referenced).
Do you agree with this? If so, is there an R package function that computes
Ljung-Box test with the degrees of
2020 Jun 26
4
Quedarse con las muestras de una BD que están presentes otra, basado en dos variables
Buenas tardes, quedarme con las muestras de una BD (data) que están
presentes en otra (datax), cuando se tiene una variable que nunca se repite
(Key) es fácil: data <- subset(data,data$Key %in% datax$Key).
Mi problema es cuando la exclusividad viene dada por dos variables. P.e.,
las coordenadas de un mapa: lon y lat.
¿Como puedo quedarme con las muestras de una df cuya lon y lat son iguales
a
2007 Mar 20
1
Symbol and Ellipsis problems
Hi Everyone,
When I have a load of functions which have various arguments passed
via the ellipsis argument it keeps on assigning them as symbol making
them unusable to the function. My current work around involves using
do.call but this is rather cumbersome.
Does anyone know why it suddenly changes the types to symbol and if
there is a way to get the actual data pointed to by the symbol? (I
2011 Oct 05
2
creating a loop for a function
Dear All,
I want to create a loop within a function r. The example follows:
Box.test (lfut, lag = 1, type="Ljung")
if i want to compute the Box.test for lag 1 to 10, I have to write manually
change each time for different lag. So i wan to write a loop for the lag 1
to 10 and return the statistics for each lag. Is there any method to do this
?
With regards,
Upananda
--
You may
2006 Jul 31
4
question about dataframe ("sensory") in PLS package
Dear all,
I am trying to my dataframe for the PLS analysis using the PLS package.
However I have some trouble generating the correct dataframe. The main
problem is how to use one name to represent several columns in the
dataframe.
The example dataframe in PLS package is called "sensory". I cannot
directly read the data file since it's a binary file. If I use
2003 Jun 24
4
cumulative frequency distribution plot
Does R do cumulative frequency distribution plots?
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High Performance Computing & Scientific Visualization
SAIC, Supporting the EPA
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