[R] Degrees of freedom using Box.test()
Patrick Burns
pburns at pburns.seanet.com
Wed Mar 8 11:00:30 CET 2006
You are saying that the penalty on the degrees of freedom
should be the same whether the model was fit with 100
observations or 1 million observations. You are also saying
that some tests should have negative degrees of freedom.
So I don't think your proposal is the right answer, though
presumably there should be some penalty.
There is a working paper on the Burns Statistics website
about robustness in Ljung-Box tests, but this issue is not one
that is covered.
Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")
Nestor Arguea wrote:
>After an RSiteSeach("Box.test") I found some discussion regarding the degrees
>of freedom in the computation of the Ljung-Box test using Box.test(), but did
>not find any posting about the proper degrees of freedom.
>
>Box.test() uses "lag=number" as the degrees of freedom. However, I believe
>the correct degrees of freedom should be "number-p-q" where p and q are the
>number of estimated parameters (for instance, in a Box-Jenkins family of
>models). This, according to the main source in documentation of Box.test:
>
>G. M. Ljung and G. E. P. Box, On a measure of Lack of Fit in Time Series
>Models, Biometrika, Vol. 65, No. 2 (August, 1978), pp. 297-303.
>
>One can still compute the correct p-value with
>
>
>
>>1-pchisq(value,correctdf)
>>
>>
>
>
>Nestor
>(R 2.2.1 on Linux, Suse 9.3)
>
>
>
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