Autocorrelation test for MA(q)

Carry out autocorrelation test for MA(q).

Usage

acfMaTest(acf, ma, n, nlags, interval = 0.95)

Arguments

acf

autocorrelations.

ma

a positive integer, the moving average order.

n

length of the corresponding time series.

nlags

number of autocorrelations to use for the portmonteau statistic, can be a vector to request several such statistics.

interval

a number or NULL.

Details

acfMaTest performs a test that the time series is MA(ma), under the classical assumptions of Bartlett's formulas.

When intervals are requested, they are confidence intervals for lags from 1 to ma. For lags greater than the moving average order, ma, autocorrelations outside them suggest to reject the null hypothesis that the process is MA(ma).

Value

a list with components "test" and (if requested) "ci"

Author

Georgi N. Boshnakov

See also

whiteNoiseTest, acfIidTest acfGarchTest