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• Extreme.Statistics.Tests
  • AndersonDarlingDistribution Class
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  • ChiSquareGoodnessOfFitTest Class
  • Exactness Enumeration
  • FTest Class
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  • TwoSampleKolmogorovSmirnovTest Class
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• LjungBoxTest Class
  • LjungBoxTest Constructors
  • Properties
  • Methods

LjungBoxTest Class

Extreme Optimization Numerical Libraries for .NET Professional

Represents the Ljung-Box test that a sample is not auto-correlated.

Inheritance Hierarchy

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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

Syntax

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C#

VB

C++

F#

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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

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	Name	Description
	LjungBoxTest(VectorDouble, Int32)	Constructs a new Ljung-Box test.
	LjungBoxTest(VectorDouble, Int32, Int32)	Constructs a new Ljung-Box test.

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Properties

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	Name	Description
	Distribution	Gets the probability distribution used in the hypothesis test. (Inherited from HypothesisTest.)
	FitDegreesOfFreedom	Gets or sets the number of degrees of freedom of the model that produced the sample.
	HypothesisType	Gets or sets whether the test is one or two-tailed. (Inherited from HypothesisTest.)
	Name	Gets the name of the hypothesis test. (Overrides HypothesisTestName.)
	Order	Gets or sets the largest auto-correlation order to test for.
	PValue	Gets the probability that the test statistic would take on the calculated value under the alternate hypothesis. (Inherited from HypothesisTest.)
	Sample	Gets or sets the variable the test is to be applied to. (Inherited from OneSampleTestT.)
	SignificanceLevel	Gets the significance level used to test the null hypothesis. (Inherited from HypothesisTest.)
	Statistic	Gets the value of the test statistic. (Inherited from HypothesisTest.)

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Methods

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	Name	Description
	Equals	Determines whether the specified object is equal to the current object. (Inherited from Object.)
	GetConfidenceInterval	Returns the confidence interval for the test parameter for the default confidence level. (Inherited from HypothesisTest.)
	GetConfidenceInterval(Double)	Returns the confidence interval for the test parameter for the specified confidence level. (Inherited from HypothesisTest.)
	GetHashCode	Serves as the default hash function. (Inherited from Object.)
	GetLowerCriticalValue	Gets the lower critical value for the hypothesis test's current significance level. (Inherited from HypothesisTest.)
	GetLowerCriticalValue(Double)	Gets the lower critical value for the hypothesis test at the specified significance level. (Inherited from HypothesisTest.)
	GetPValue	Gets the probability that the test statistic would take on the calculated value under the specified alternate hypothesis. (Inherited from HypothesisTest.)
	GetType	Gets the Type of the current instance. (Inherited from Object.)
	GetUpperCriticalValue	Gets the upper critical value for the test statistic at the hypothesis test's current significance level. (Inherited from HypothesisTest.)
	GetUpperCriticalValue(Double)	Gets the upper critical value for the test statistic at the specified significance level. (Inherited from HypothesisTest.)
	Reject	Returns whether the null hypothesis is rejected using the default significance level. (Inherited from HypothesisTest.)
	Reject(Double)	Returns whether the null hypothesis is rejected using the specified significance level. (Inherited from HypothesisTest.)
	Summarize	Returns a string containing a human-readable summary of the object. (Inherited from HypothesisTest.)
	Summarize(SummaryOptions)	Returns a string containing a human-readable summary of the object using the specified options. (Overrides OneSampleTestTSummarize(SummaryOptions).)
	ToString	Returns a string that represents the current object. (Inherited from HypothesisTest.)

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Remarks

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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.

See Also

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Reference

Extreme.Statistics.Tests Namespace

Extreme.Statistics.TimeSeriesAnalysisArimaModel

Extreme.Statistics.TimeSeriesAnalysisGarchModel

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