Hello, Prof Brian Ripley wrote: > > I think you are referring to its application to the residuals of an > ARMA(p, q) fit, and that is not what Box.test says it does. > > It is very easy to edit the code if you want to use a different degrees of > freedom. > I am also new to R, but it seems to me that there is still something confusing, not in Box.test but in tsdiag.Arima Indeed, the help of tsdiag says "The methods for 'arima' and 'StructTS' [...] use the Ljung-Box version of the portmanteau test." So we could expect the degrees of freedom 'h-p-q' to be used, but a look at tsdiag.Arima shows it uses Box.test at lags h=1:gof.lag, with degrees of freedom equal to h, and not h-p-q. Do you think this is a mistake in tsdiag.Arima or is there some experimental (or theoretical) reason supporting this choice ? Best regards
-- View this message in context: http://www.nabble.com/Box.test-degrees-of-freedom-tp17277964p18888923.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
