by Patrick Burns.
Abstract: The Ljung-Box test is known to be robust. This paper reports on simulations that show just how robust it is in finite samples. Even so, we demonstrate some practical applications where the robustness of the test fails dramatically. The Ljung-Box test on the ranks of the data provides a suitably robust alternative when the distribution is extremely long-tailed. In particular, the rank Ljung-Box test is highly recommended over the Ljung-Box test for evaluating the adequacy of GARCH models. Simulations also explore properties of the test when applied to binary data. There is some evidence that the test starts to deteriorate as the number of lags exceeds 5% of the length of the series whether or not the data are long-tailed.
jun 25, 26
Towards the basic R mindset. Previously The post ”A first step towards R from spreadsheets” provides an introduction to switching from spreadsheets to R. It also includes a list of [...]
jun 25, 26
I failed to find Kahneman’s book in the economics section of the bookshop, so I had to ask where it was. ”Oh, that’s in the psychology section.” It should have [...]
jun 25, 26
An introductory comparison of using the two languages. Background R was made especially for data analysis and graphics. SQL was made especially for databases. They are allies. The data structure [...]