ljung-box

  1. Nicole Seaman

    P1.T2.20.24. Stationary Time Series: Box-Pierce test and model selection with AIC and BIC

    Learning objectives: Describe sample autocorrelation and partial autocorrelation. Describe the Box-Pierce Q-statistic and the Ljung-Box Q statistic. Questions: 20.24.1. The autocorrelation function (ACF) is typically paired with the partial autocorrelation function (PACF). About the ACF and...
    • Nicole Seaman
    • Thread
    • autocorrelation box-pierce ljung-box model-selection partial-autocorrelation q-statistic stationary-time-series
    • Replies: 1
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P1.T2.509. Box-Pierce and Ljung-Box Q-statistics

    Learning outcomes: Calculate the sample mean and sample autocorrelation, and describe the Box-Pierce Q- statistic and the Ljung-Box Q-statistic. Describe sample partial autocorrelation Questions: 509.1. If a time series is reasonably approximated as white noise, then each of the following is...
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