Sum of squared ACF and the Ljung-Box statistics

【Author】 Hassani, Hossein; Yeganegi, Mohammad Reza

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】The Ljung-Box test is one of the most important tests for time series diagnostics and model selection. The Hassani's -1/2 Theorem, however, indicates that the sum of sample autocorrelation function is always -1/2 for any stationary time series with arbitrary length. In this paper, Hassani's -1/2 Theorem is used to assess the sensitivity of the Ljung-Box test results to the number of lags. Bitcoin price return data is also used to examine the applicability of the theoretical results obtained here. The results confirm sensitivity of the Ljung-Box test to the number of lags involved in the test and therefore it should be used with extra caution. (C) 2019 Elsevier By. All rights reserved.

【Keywords】Ergodicity; Linear process; Ljung-box test; Sample autocorrelation function

【发表时间】2019 15-Apr

【收录时间】2022-01-02

【文献类型】

【主题类别】

--