From Andi: It's about the ljung box statistic that is displayed at <

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ljung box statistic in summary? about seasonal HOT 3 OPEN

christophsax commented on August 22, 2024

ljung box statistic in summary?

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Comments (3)

christophsax commented on August 22, 2024

@jlivsey, @andreranza can we take a look at this when we investigate quality measures? Can we get this statistic from X-13 instead?

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andreranza commented on August 22, 2024

Maybe?

library(seasonal)
m <- seas(AirPassengers)
series <- series(m, "check.acf")
#> specs have been added to the model: check
#> To speed up, extend the `seas()` call (see ?series):
#> seas(x = AirPassengers, check.save = "acf")
series_df <- as.data.frame(series)
series_df$Ljung.Box_Q
#>  [1]  0.0496485  2.4306218  6.8130876  7.0890097  7.1140683  9.3729836
#>  [7] 10.0627983 11.8883864 12.1304734 12.8287381 12.8652000 13.2923086
#> [13] 13.3074845 13.3578531 13.3801174 13.4152318 13.6177014 13.6814549
#> [19] 14.8550759 20.3043691 21.7717755 21.8652860 23.8364488 23.8849767

^{Created on 2024-02-29 with reprex v2.1.0}

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andreranza commented on August 22, 2024

Also, I discovered udg() returns just the significant ones:

library(seasonal)
m <- seas(AirPassengers)

udg <- udg(m)
udg$`lbq$03`
#> [1] 6.813 1.000 0.009
udg$`lbq$04`
#> [1] 7.089 2.000 0.029
udg$nlbq
#> [1] 2
udg$lblags
#> [1] 3 4

^{Created on 2024-02-29 with reprex v2.1.0}

I guess we get in order:

statistic value
std. error
p-value

The degrees of freedom can be found in here:

library(seasonal)
m <- seas(AirPassengers)
series <- series(m, "check.acf")
#> specs have been added to the model: check
#> To speed up, extend the `seas()` call (see ?series):
#> seas(x = AirPassengers, check.save = "acf")
series_df <- as.data.frame(series)
series_df$df_of_Q
#>  [1]  0  0  1  2  3  4  5  6  7  8  9 10 11 12 13 14 15 16 17 18 19 20 21 22

^{Created on 2024-02-29 with reprex v2.1.0}

@christophsax not sure how it would be possible to reproduce these results using Box.test(residuals) if I got the question right. It would be indeed interesting to compare

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