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    • AndersonDarlingDistribution Class
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  • LjungBoxTest Class
    • LjungBoxTest Constructors
    • Properties
    • Methods
LjungBoxTest ClassExtreme Optimization Numerical Libraries for .NET Professional
Represents the Ljung-Box test that a sample is not auto-correlated.
Inheritance Hierarchy
SystemObject
  Extreme.Statistics.TestsHypothesisTest
    Extreme.Statistics.TestsOneSampleTestDouble
      Extreme.Statistics.TestsOneSampleTest
        Extreme.Statistics.TestsLjungBoxTest

Namespace: Extreme.Statistics.Tests
Assembly: Extreme.Numerics.Net40 (in Extreme.Numerics.Net40.dll) Version: 6.0.16073.0 (6.0.17114.0)
Syntax
C#
VB
C++
F#
Copy
public sealed class LjungBoxTest : OneSampleTest
Public NotInheritable Class LjungBoxTest
	Inherits OneSampleTest
public ref class LjungBoxTest sealed : public OneSampleTest
[<SealedAttribute>]
type LjungBoxTest =  
    class
        inherit OneSampleTest
    end

The LjungBoxTest type exposes the following members.

Constructors
  NameDescription
Public methodLjungBoxTest(NumericalVariable, Int32)
Constructs a new Ljung-Box test.
Public methodLjungBoxTest(VectorDouble, Int32)
Constructs a new Ljung-Box test.
Public methodLjungBoxTest(NumericalVariable, Int32, Int32)
Constructs a new Ljung-Box test.
Public methodLjungBoxTest(VectorDouble, Int32, Int32)
Constructs a new Ljung-Box test.
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Properties
  NameDescription
Public propertyDistribution
Gets the probability distribution used in the hypothesis test.
(Inherited from HypothesisTest.)
Public propertyFitDegreesOfFreedom
Gets or sets the number of degrees of freedom of the model that produced the sample.
Public propertyHypothesisType
Gets or sets whether the test is one or two-tailed.
(Inherited from HypothesisTest.)
Public propertyName
Gets the name of the hypothesis test.
(Overrides HypothesisTestName.)
Public propertyOrder
Gets or sets the largest auto-correlation order to test for.
Public propertyPValue
Gets the probability that the test statistic would take on the calculated value under the alternate hypothesis.
(Inherited from HypothesisTest.)
Public propertySample
Gets or sets the variable the test is to be applied to.
(Inherited from OneSampleTestT.)
Public propertySignificanceLevel
Gets the significance level used to test the null hypothesis.
(Inherited from HypothesisTest.)
Public propertyStatistic
Gets the value of the test statistic.
(Inherited from HypothesisTest.)
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Methods
  NameDescription
Public methodEquals
Determines whether the specified Object is equal to the current Object.
(Inherited from Object.)
Public methodGetConfidenceInterval
Returns the confidence interval for the test parameter for the default confidence level.
(Inherited from HypothesisTest.)
Public methodGetConfidenceInterval(Double)
Returns the confidence interval for the test parameter for the specified confidence level.
(Inherited from HypothesisTest.)
Public methodGetHashCode
Serves as a hash function for a particular type.
(Inherited from Object.)
Public methodGetLowerCriticalValue
Gets the lower critical value for the hypothesis test's current significance level.
(Inherited from HypothesisTest.)
Public methodGetLowerCriticalValue(Double)
Gets the lower critical value for the hypothesis test at the specified significance level.
(Inherited from HypothesisTest.)
Public methodGetPValue
Gets the probability that the test statistic would take on the calculated value under the specified alternate hypothesis.
(Inherited from HypothesisTest.)
Public methodGetType
Gets the Type of the current instance.
(Inherited from Object.)
Public methodGetUpperCriticalValue
Gets the upper critical value for the test statistic at the hypothesis test's current significance level.
(Inherited from HypothesisTest.)
Public methodGetUpperCriticalValue(Double)
Gets the upper critical value for the test statistic at the specified significance level.
(Inherited from HypothesisTest.)
Public methodReject
Returns whether the null hypothesis is rejected using the default significance level.
(Inherited from HypothesisTest.)
Public methodReject(Double)
Returns whether the null hypothesis is rejected using the specified significance level.
(Inherited from HypothesisTest.)
Public methodSummarize
Returns a string containing a human-readable summary of the object.
(Inherited from HypothesisTest.)
Public methodSummarize(SummaryOptions)
Returns a string containing a human-readable summary of the object using the specified options.
(Inherited from HypothesisTest.)
Public methodToString
Returns a string that represents the current object.
(Inherited from HypothesisTest.)
Public methodToString
Returns a string that represents the current object.
(Inherited from Object.)
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Remarks

Use the LjungBoxTest class to test whether the auto-correlations of a time series are zero.

The LjungBoxTest can be used to validate time series models like an ArimaModel or a GarchModel. The residuals of these models should not have any auto-correlations.

Version Information

Numerical Libraries

Supported in: 6.0, 5.x
See Also

Reference

Extreme.Statistics.Tests Namespace
Extreme.Statistics.TimeSeriesAnalysisArimaModel
Extreme.Statistics.TimeSeriesAnalysisGarchModel

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