Hassani.SACF: Computing Lower Bound of Ljung-Box Test
Hossein Hassani, Masoud Yarmohammdi, Mohammad Reza Yeganegi, Leila Marvian Mashhad · 2022
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) .