【求教】检验某变量与滞后项相关系数是否为0的Q检验

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检验某变量与滞后项相关系数是否为0的Q检验。
也就是这个图里的Q，文章说Q的零假设是前面六个相关系数均为0，求详解，这个Q是怎么求的？

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关键词：相关系数 滞后项 零假设 检验 系数 皮尔逊相关系数 偏相关系数 pearson相关系数 相关系数检验 spearman相关系数 复相关系数 相关系数矩阵

Generally they are all constructed as the summation of the squared auto correlation coefficients up to mth order. ( in your case is 6).
The basic idea is that if Q(m) is zero, every auto correlation coefficients up to mth order should be zero. (e.g. if a^2+b^2=0, a=0 and b=0)

The degree of freedom is adjusted so that to let the statistic follow chi-square distribution.

The original version is very simple:



The modified one is:


The tao here are auto correlation coefficients. T is the number of observations.

I think we use modified one more often.

best,

Chemist_MZ 发表于 2013-4-6 21:37
Generally they are all construct as the summation of auto correlation coefficients up to mth order.  ...

谢版主！

Chemist_MZ 发表于 2013-4-6 21:37
Generally they are all construct as the summation of auto correlation coefficients up to mth order.  ...

谢版主！