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
Online Math Degrees has a page of ”100 savvy sites on statistics and quantitative analysis”. It has some that you recognize, some that you’ve hardly ever heard of. The sites [...]
jun 25, 26
R is a piece of software, but it is also a community. Help community The most visible aspect of the R community is help. This is also the most useful [...]
jun 25, 26
Some history and a prediction. Past A discussion broke out on the R-help mailing list in January 2006 about a technical report put out by the statistical computing group at [...]