| To: | s-news@lists.biostat.wustl.edu |
|---|---|
| Subject: | Ljung-Box test in S-Plus |
| From: | Riccardo Gusso <rgusso@unive.it> |
| Date: | 20 Mar 2003 16:04:51 +0100 |
| Organization: | |
| Reply-to: | rgusso@unive.it, grick@libero.it |
Hello,
the null hypothesis in the Ljung and Box test should be strict white
noise, that is i.i.d., finite variance random variables; but in S-Plus
autocorTest with method "lb" output I read:
Test for Autocorrelation: Ljung-Box
Null Hypothesis: no autocorrelation
Is this only a lexical question, or the S-Plus implementation of Ljung
and Box test is testing only the absence of correlation between random
variables?
Bye,
Riccardo
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