Box-Pierce Test

A Box-Pierce Test is a statistical test for autocorrelations.

• AKA: Box-Pierce Q Test.
• Context:
  • It is a simplified version of the Ljung–Box Test.
  • It is used to test the lack of fitness.
• See: Ljung–Box Test, Portmanteau Test, Breusch–Godfrey Test, Ljung–Box Test, Durbin–Watson Test, Unit Root Test, Dickey–Fuller Test, Phillips–Perron Test, KPSS Test, Augmented Dickey–Fuller Test, Time Series Analysis.

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References

2016

• (Wikipedia, 2016) ⇒ http://en.wikipedia.org/wiki/Ljung–Box_test#Box-Pierce_test Retrieved 2016-08-07
  • The Box-Pierce test uses the test statistic, in the notation outlined above, given by

[math]\displaystyle{ Q_\text{BP} = n \sum_{k=1}^h \hat{\rho}^2_k, }[/math]

and it uses the same critical region as defined above.

Simulation studies have shown that the Ljung–Box statistic is better for all sample sizes including small ones.

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