Advanced Quantitative Methods
The Ljung-Box test is a statistical test used to determine whether there are significant autocorrelations in a time series. This test checks for the presence of autocorrelation at multiple lags simultaneously, which is crucial for validating assumptions in time series models, particularly those involving autoregressive and moving average components. The results help in identifying whether the residuals of a model exhibit randomness, indicating a good fit.
congrats on reading the definition of Ljung-Box test. now let's actually learn it.