Autocorrelation test for MA(q)
acfMaTest.Rd
Carry out autocorrelation test for MA(q).
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
).