I'm using the Box-Ljung test (from within R) to test if a time-series in independently distributed.
2 questions:
1) p-value returned by Box-Ljung:
IF I want to test if the time-series is independant at say 0.05 sig-level (it means that prob of erroneously accepting that the time-series is independent is 0.05 right?)
--> then do I consider time-series as "independant" when
--> p-value (from Box-Ljung) > 0.05
OR
--> p-value < 0.05
Or should i be using (0.95) instead of (0.05) for this case. I'm confused about this (this is a goodness-of-fit test?).
2) Box-Ljung takes a lag argument, say lag=k.
Does it check "all lags upto k"
OR
Does it check "only AT k" (i.e acf val is small at only k?)thank you in advance. I apologize if the questions are very basic.
Aroon
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