The Ljung-Box Test is a statistical hypothesis test used in time series analysis to assess the presence of autocorrelation at multiple lag levels by examining the null hypothesis that the residuals are independently distributed, distinguished from other autocorrelation tests by its asymptotic chi-squared distribution and its correction for sample size in the computation of the test statistic.
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Testing the adequacy of a time series model
L. G. Godfrey · Biometrika · 1979 · 173 citations
Computing, Mathematics, Econometrics +13
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- MRMohammad Reza Yeganegi
Islamic Azad University Central Tehran Branch, Iran
2 publications · 104 citations
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- CF
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Institutions
98
University of Technology Malaysia
Johor Bahru, Malaysia
3 h-index
8 publications
154 citations
Princeton University
Princeton, United States
2 h-index
4 publications
223 citations
University of Cyprus
Nicosia, Cyprus
2 h-index
4 publications
136 citations
Islamic Azad University Central Tehran Branch
Tehran, Iran
2 h-index
2 publications
104 citations
University of Pretoria
Pretoria, South Africa
2 h-index
3 publications
58 citations
University of Tehran
Tehran, Iran
2 h-index
2 publications
104 citations
University of Minnesota
Minneapolis, United States
1 h-index
3 publications
72 citations
University of Agriculture Faisalabad
Faisalabad, Pakistan
1 h-index
1 publications
142 citations
1–8 of 98
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- Biometrika
5 publications · 292 citations
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- Journal of Time Series Analysis
4 publications · 99 citations
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- SSRN Electronic Journal
Repository · 3 publications · 201 citations
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- Physica A Statistical Mechanics and its Applications
2 publications · 104 citations
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- Journal of the American Statistical Association
2 publications · 293 citations
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