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.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public static double[] Compute(
int nObservations,
double[] correlations,
int npFree,
int lagMax,
int lagMin
)
Public Shared Function Compute (
nObservations As Integer,
correlations As Double(),
npFree As Integer,
lagMax As Integer,
lagMin As Integer
) As Double()
public:
static array<double>^ Compute(
int nObservations,
array<double>^ correlations,
int npFree,
int lagMax,
int lagMin
)
static member Compute :
nObservations : int *
correlations : float[] *
npFree : int *
lagMax : int *
lagMin : 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.
- 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:
DoubleA
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