McLeod's test for periodic autocorrelation

Performs McLeod's test for periodic autocorrelation.

Usage

periodic_acf1_test(acf, nepochs)

Arguments

acf

sample periodic autocorrelation function

nepochs

the number of epochs used to get the acf

Details

The test statistic is a scaled sum of squares of lag 1 sample periodic autocorrelation coefficients, see McLeod (1993), eq. (5). The distribution is approximately chi-square under the null hypothesis of no periodic autocorrelation.

Value

A list containing the following components:

statistic

the value of the test statistic.

pvalue

the p-value associated with the test statistic.

References

McLeod AI (1993). “Parsimony, model adequacy and periodic correlation in time series forecasting.” Internat. Statist. Rev., 61(3), 387-393.

McLeod AI (1994). “Diagnostic checking of periodic autoregression models with application.” Journal of Time Series Analysis, 15(2), 221--233.

McLeod AI (1995). “Diagnostic checking of periodic autoregression models with application.” Journal of Time Series Analysis, 16(6), 647-648. doi: 10.1111/j.1467-9892.1995.tb00260.x , This corrects some typos in the eponimous article McLeod (1994).

Author

Georgi N. Boshnakov