LackOfFit.Compute Method (Int32, Double[], Int32, Int32)

LackOfFitCompute Method (Int32, Double, Int32, Int32)

Performs lack-of-fit test for a univariate time series or transfer function given the appropriate correlation function using a minimum lag of 1.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

C++

Copy

public static double[] Compute(
	int nObservations,
	double[] correlations,
	int npFree,
	int lagMax
)

Public Shared Function Compute ( 
	nObservations As Integer,
	correlations As Double(),
	npFree As Integer,
	lagMax As Integer
) As Double()

public:
static array<double>^ Compute(
	int nObservations, 
	array<double>^ correlations, 
	int npFree, 
	int lagMax
)

static member Compute : 
        nObservations : int * 
        correlations : float[] * 
        npFree : int * 
        lagMax : int -> float[]

Parameters

nObservations: Type: SystemInt32
An int containing the number of observations of the stationary time series.
correlations: Type: SystemDouble
A double array of length lagMax+1 containing the correlation function.
npFree: Type: SystemInt32
An int scalar specifying the number of free parameters in the formulation of the time series model. npfree must be greater than or equal to zero and less than lagMax. Woodfield (1990) recommends npFree = p + q.
lagMax: Type: SystemInt32
An int scalar specifying the maximum lag of the correlation function.

Return Value

Type: Double
A double array of length 2 with the test statistic, Q, and its p-value, p. Under the null hypothesis, Q has an approximate chi-squared distribution with lagMax-lagMin+1-npFree degrees of freedom.

Reference

LackOfFit Class

Compute Overload

Imsl.Stat Namespace