Ljung Box Test Class
Represents the Ljung-Box test that a sample is not auto-correlated.
Definition
Namespace: Numerics.NET.Statistics.Tests
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.3
C#
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.3
public sealed class LjungBoxTest : OneSampleTest
- Inheritance
- Object → HypothesisTest → OneSampleTest<Double> → OneSampleTest → LjungBoxTest
Remarks
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.
Constructors
Ljung | Constructs a new Ljung-Box test. |
Ljung | Constructs a new Ljung-Box test. |
Properties
Degrees | Gets the degrees of freedom of the distribution of the statistic. |
Distribution |
Gets the probability distribution used in the hypothesis test.
(Inherited from HypothesisTest) |
Fit | Gets or sets the number of degrees of freedom of the model that produced the sample. |
Hypothesis |
Gets or sets whether the test is one or two-tailed.
(Inherited from HypothesisTest) |
Name |
Gets the name of the hypothesis test.
(Overrides HypothesisTest.Name) |
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 OneSampleTest<T>) |
Significance |
Gets the significance level used to test the null hypothesis.
(Inherited from HypothesisTest) |
Statistic |
Gets the value of the test statistic.
(Inherited from HypothesisTest) |
Methods
Equals | Determines whether the specified object is equal to the current object. (Inherited from Object) |
Get |
Returns the confidence interval for the test parameter for the default confidence level.
(Inherited from HypothesisTest) |
Get |
Returns the confidence interval for the test parameter for the specified confidence level.
(Inherited from HypothesisTest) |
Get | Serves as the default hash function. (Inherited from Object) |
Get |
Gets the lower critical value for the hypothesis test's current significance level.
(Inherited from HypothesisTest) |
Get |
Gets the lower critical value for the hypothesis test at the specified significance level.
(Inherited from HypothesisTest) |
Get |
Gets the probability that the test statistic would take on the calculated value under the specified alternate hypothesis.
(Inherited from HypothesisTest) |
Get | Gets the Type of the current instance. (Inherited from Object) |
Get |
Gets the upper critical value for the test statistic at the hypothesis test's current significance level.
(Inherited from HypothesisTest) |
Get |
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( |
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( |
Returns a string containing a human-readable summary of the object
using the specified options.
(Overrides OneSampleTest<T>.Summarize(SummaryOptions)) |
ToString | Returns a string that represents the current object. (Inherited from HypothesisTest) |