Hassani.SACF: Computing Lower Bound of Ljung-Box Test

The Ljung-Box test is one of the most important tests for time series diagnostics and model selection. The Hassani SACF (Sum of the Sample Autocorrelation Function) Theorem , however, indicates that the sum of sample autocorrelation function is always fix for any stationary time series with arbitrary length. This package confirms for sensitivity of the Ljung-Box test to the number of lags involved in the test and therefore it should be used with extra caution. The Hassani SACF Theorem has been described in : Hassani, Yeganegi and M. R. (2019) <doi:10.1016/j.physa.2018.12.028>.

Version: 2.0
Published: 2023-06-12
DOI: 10.32614/CRAN.package.Hassani.SACF
Author: Hossein Hassani [aut], Masoud Yarmohammdi [aut], Mohammad Reza Yeganegi [aut], Leila Marvian Mashhad [aut, cre]
Maintainer: Leila Marvian Mashhad <Leila.marveian at gmail.com>
License: GPL-3
NeedsCompilation: no
CRAN checks: Hassani.SACF results

Documentation:

Reference manual: Hassani.SACF.pdf

Downloads:

Package source: Hassani.SACF_2.0.tar.gz
Windows binaries: r-devel: Hassani.SACF_2.0.zip, r-release: Hassani.SACF_2.0.zip, r-oldrel: Hassani.SACF_2.0.zip
macOS binaries: r-release (arm64): Hassani.SACF_2.0.tgz, r-oldrel (arm64): Hassani.SACF_2.0.tgz, r-release (x86_64): Hassani.SACF_2.0.tgz, r-oldrel (x86_64): Hassani.SACF_2.0.tgz
Old sources: Hassani.SACF archive

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