Represents the Ljung-Box test that a sample is not auto-correlated.
SystemObject Extreme.Statistics.TestsHypothesisTest Extreme.Statistics.TestsOneSampleTestDouble Extreme.Statistics.TestsOneSampleTest Extreme.Statistics.TestsLjungBoxTest
Namespace:
Extreme.Statistics.Tests
Assembly:
Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.1
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.
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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.
Reference