ISmSerialCorrelationLMTest

Assembly: Stat;

Namespace: Prognoz.Platform.Interop.Stat;

Description

The ISmSerialCorrelationLMTest interface determines the parameters of the Godfrey criterion of residual autocorrelation of linear regression model.

Inheritance Hierarchy

          IStatMethod

          ISmSerialCorrelationLMTest

Comments

If the probability value is less than 0.05, the null hypothesis (residuals are not autocorrelated) is rejected at the 5% significance level.

Hypothesis:

• H0. The residual series is not autocorrelated up to N order.

• H1. The residuals are autocorrelated.

The test returns the Fisher statistics and LM-statistics (adjusted determination coefficient multiplied by the number of observations) and the appropriate probability values.

Properties

	Property name	Brief description
	ARMA	The ARMA property determines autoregression and moving average orders.
	ChiTest	The ChiTest property returns LM-statistics values.
	Explained	The Explained property determines an explained series.
	Explanatories	The Explanatories property determines explanatory series.
	Fitted	The Fitted property returns a modeling series.
	FTest	The FTest property returns Fisher statistics values.
	LMOrder	The LMOrder property determines a lag.
	MissingData	The MissingData property determines missing data treatment method.
	ModelCoefficients	The ModelCoefficients property returns parameters of model coefficients.
	ModelPeriod	The ModelPeriod property determines sample period parameters.
	Residuals	The Residuals property returns a residual series.
	SummaryStatistics	The SummaryStatistics property returns summary statistics.

Properties inherited from IStatMethod

	Property name	Brief description
	DisplayName	The DisplayName property returns the displayed method name.
	ErrorByStatus	The ErrorByStatus property returns an error message by the error number.
	Errors	The Errors property returns a message with all the errors and warnings.
	Name	The Name property returns the internal method name.
	PerformanceTime	The PerformanceTime property returns method execution time.
	Status	The Status property returns the method execution status.
	SupportsR	The SupportsR property returns whether statistical method can be calculated via R package.
	UseR	The UseR property determines whether statistical method is calculated via the R package.
	WarningByStatus	The WarningByStatus property returns a warning text by its number.
	Warnings	The Warnings property returns the warnings that occurred at method calculation.
	WarningsCount	The WarningsCount property returns the number of warnings that occurred at the method calculation.
	WarningsNumbers	The WarningsNumbers property returns numbers of warnings that occurred at the method calculation.

Methods inherited from IStatMethod

	Method Name	Brief description
	Clone	The Clone method clones a statistical method object.
	Execute	The Execute method executes a statistical method.
	LoadFromXML	The LoadFromXML method loads statistical method settings from XML code.
	SaveToXML	The SaveToXML method unloads statistical method settings to XML code.

See also:

Stat Assembly Interfaces