VARResults.test_whiteness()

statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness

VARResults.test_whiteness(nlags=10, plot=True, linewidth=8) [source]

Test white noise assumption. Sample (Y) autocorrelations are compared with the standard 2 / \sqrt(T) bounds.

Parameters:

plot : boolean, default True

Plot autocorrelations with 2 / sqrt(T) bounds

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness.html

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