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LackOfFitCompute Method (Int32, Double, Int32, Int32, Int32)
Performs lack-of-fit test for a univariate time series or transfer function given the appropriate correlation function.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax
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public static double[] Compute(
	int nObservations,
	double[] correlations,
	int npFree,
	int lagMax,
	int lagMin
)

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.
lagMin
Type: SystemInt32
An int scalar specifying the minimum lag of the correlation function. lagMin corresponds to the lower bound of summation in the lack of fit test statistic.

Default: lagMin = 1.

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.
See Also