Overview

Box–Pierce test


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A test to determine whether a time series consists simply of random values (white noise). The test statistic is Qm, given by , where rl is the sample autocorrelation at lag l, m is the maximum lag of interest, and n is the number of observations. If n is much greater than m and if the null hypothesis of white noise is correct, then Qm has a chi-squared distribution with m degrees of freedom.

Subjects: Probability and Statistics.


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