I haven't looked specifically at the S-PLUS implementation, but I would
think that
it is standard, and this is a lexical question as you say.
Since the test statistic is only based on autocorrelations and the test
is quite robust
to failures of various assumptions, I tend to think of their statement
as appropriate.
There is a working paper on my website that explores the robustness of
the test
in some settings.
Patrick Burns
Burns Statistics
patrick@burns-stat.com
+44 (0) 208 525 0696
http://www.burns-stat.com/ (new home of S Poetry)
Riccardo Gusso wrote:
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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