Re: [R] Box.test degrees of freedom

From: David Stoffer <dsstoffer_at_gmail.com>
Date: Sat, 09 Aug 2008 13:03:57 -0700 (PDT)

I believe tsdiag() uses the correct degrees of freedom in applying Box.test, but the graphic shows "lag" on the horizontal axis when it should display "degrees of freedom".

raf.rossignol wrote:
>
> Hello,
>
> Prof Brian Ripley wrote:

>> 
>> I think you are referring to its application to the residuals of an 
>> ARMA(p, q) fit, and that is not what Box.test says it does.
>> 
>> It is very easy to edit the code if you want to use a different degrees
>> of
>> freedom.
>> 

> I am also new to R, but it seems to me that there is still something
> confusing, not in Box.test but in tsdiag.Arima
> Indeed, the help of tsdiag says "The methods for 'arima' and 'StructTS'
> [...] use the Ljung-Box version of the portmanteau test."
> So we could expect the degrees of freedom 'h-p-q' to be used, but a look
> at tsdiag.Arima shows it uses Box.test at lags h=1:gof.lag, with degrees
> of freedom equal to h, and not h-p-q. Do you think this is a mistake in
> tsdiag.Arima or is there some experimental (or theoretical) reason
> supporting this choice ?
> Best regards
>
>
>


The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw
-- 
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