ljungBox function

LjungBoxResult ljungBox(
  1. List<double> resid,
  2. int h, {
  3. int nParams = 0,
})

Implementation

LjungBoxResult ljungBox(List<double> resid, int h, {int nParams = 0}) {
  final n = resid.length;
  final rho = acf(resid, h);
  double Q = 0.0;
  for (int k = 1; k <= h; k++) {
    Q += (rho[k] * rho[k]) / (n - k);
  }
  Q *= n * (n + 2);
  final df = math.max(1, h - nParams);
  final p = chiSquareSF(Q, df);
  return LjungBoxResult(Q, df, p);
}