com.numericalmethod.suanshu.stats.test.timeseries.portmanteau
Class BoxPierce

java.lang.Object
  com.numericalmethod.suanshu.stats.test.HypothesisTest
      com.numericalmethod.suanshu.stats.test.timeseries.portmanteau.BoxPierce

Direct Known Subclasses:

LjungBox

Deprecated. use LjungBox

@Deprecated
public class BoxPierce
extends HypothesisTest

The Box-Pierce test (named for George E. P. Box and David A. Pierce) is a portmanteau test for autocorrelated errors. A portmanteau test tests whether any of a group of autocorrelations of a time series are different from zero. The Box-Pierce statistic is computed as the weighted sum of squares of a sequence of autocorrelations.

The R equivalent function is Box.test.

See Also:

• Wikipedia: Box-Pierce test
• Wikipedia: Portmanteau test

Constructor Summary

BoxPierce(double[] x, int lag, int fitdf)
Deprecated. Perform the Box-Pierce test to check auto-correlation in a time series.

Method Summary

java.lang.String	getAlternativeHypothesis() Deprecated. Get the description of the alternative hypothesis.
java.lang.String	getNullHypothesis() Deprecated. Get a description of the null hypothesis.
double	pValue() Deprecated. Get the p-value for the test statistics.
double	statistics() Deprecated. Get the test statistics.

Methods inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

isNullRejected, nGroups, nObs, oneSidedPvalue

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BoxPierce

public BoxPierce(double[] x,
                 int lag,
                 int fitdf)

Deprecated.

Perform the Box-Pierce test to check auto-correlation in a time series.

Parameters:

x - a univariate time series

lag - the number of lags to check

fitdf - the degrees of freedom to be subtracted if x is a series of residuals

Method Detail

getNullHypothesis

public java.lang.String getNullHypothesis()

Deprecated.

Description copied from class: HypothesisTest

Get a description of the null hypothesis.

Specified by:

getNullHypothesis in class HypothesisTest

Returns:

the null hypothesis description

See Also:

Wikipedia: Null hypothesis

getAlternativeHypothesis

public java.lang.String getAlternativeHypothesis()

Deprecated.

Description copied from class: HypothesisTest

Get the description of the alternative hypothesis.

Specified by:

getAlternativeHypothesis in class HypothesisTest

Returns:

the alternative hypothesis description

See Also:

Wikipedia: Alternative hypothesis

statistics

public double statistics()

Deprecated.

Description copied from class: HypothesisTest

Get the test statistics.

Specified by:

statistics in class HypothesisTest

Returns:

the test statistics

See Also:

Wikipedia: Test statistic

pValue

public double pValue()

Deprecated.

Description copied from class: HypothesisTest

Get the p-value for the test statistics.

Specified by:

pValue in class HypothesisTest

Returns:

the p-value

See Also:

Wikipedia: P-value