Performs lack-of-fit test for a univariate time series or transfer function given the appropriate correlation function using a minimum lag of 1.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public static double[] Compute(
	int nObservations,
	double[] correlations,
	int npFree,
	int lagMax
)
Visual Basic (Declaration)
Public Shared Function Compute ( _
	nObservations As Integer, _
	correlations As Double(), _
	npFree As Integer, _
	lagMax As Integer _
) As Double()
Visual C++
public:
static array<double>^ Compute(
	int nObservations, 
	array<double>^ correlations, 
	int npFree, 
	int lagMax
)

Parameters

nObservations
Type: System..::.Int32
An int containing the number of observations of the stationary time series.
correlations
Type: array< System..::.Double >[]()[]
A double array of length lagMax+1 containing the correlation function.
npFree
Type: System..::.Int32
An int scalar specifying the number of free parameters in the formulation of the time series model. npfree must be greater than or equal to zero and less than lagMax. Woodfield (1990) recommends npFree = p + q.
lagMax
Type: System..::.Int32
An int scalar specifying the maximum lag of the correlation function.

Return Value

A double array of length 2 with the test statistic, Q, and its p-value, p. Under the null hypothesis, Q has an approximate chi-squared distribution with lagMax-lagMin+1-npFree degrees of freedom.

See Also