# Simple computational misunderstanding in Ljung-Box test

The Ljung-Box test statistic $$Q$$ is defined as $$Q := n(n+2) \sum_{j=1}^{\ell} \frac{\hat{r}_{j}^2}{n-j},$$ where $$\ell$$ is the number of lags and $$\hat{r}_{j} := \frac{1}{\left\|a \right\|_{2}^2} \sum_{i=j}^{n-1} a_{i}a_{i-j}$$ (This is equation (1.1) of Ljung and Box's "On a Measure of Lack of Fit of Time Series Models"; it's available for free if you search through scholar.google.com, but I can't link to it because the url has a bizarre unique token!)

Ok, let's take $$a = (1,2)$$ and $$\ell =1$$. Then $$\hat{r}_1 = 2/5$$, $$\hat{r}_1^2 = 4/25$$, and so $$Q = 32/25$$. Trivial, correct? But I do this calculation in R:

> x <- c(1,2)
> b = Box.test(x, lag=1, "Ljung", fitdf=0)
> b$statistic 2  So R says my super basic calculation is wrong! Does R use a modified definition of the Ljung-Box statistic, or have I made a trivial mistake? Note: Mathematica agrees with R: data = {1,2}; H = AutocorrelationTest[data, 1, "HypothesisTestData"]; H["TestStatistic", "LjungBox"] 2  ## 1 Answer Your computation for the autocorrelation coefficient does not demean the data: x <- c(1,2) b = Box.test(x, lag=1, "Ljung", fitdf=0) b$statistic

# your \hat{r}_1, without demeaning
x*x/sum(x^2)

# R's \hat{r}_1
r1 <- acf(x, plot=F)\$acf
# i.e., an estimate of the first autocovariance divided by an estimate of the variance (with divisions by n that cancel out):
xbar <- mean(x) # 1.5
(x-xbar)*(x-xbar)/((x-xbar)^2+(x-xbar)^2)

n <- length(x)
(Q <- n*(n+2)*r1^2) # agrees with Box.text


See, e.g., here for further discussion of how R computes the acf.

• Awesome thanks! But quick question: Shouldn't we have a different statistic for different means? The purpose is to test the residuals, but if the residuals have a large mean, doesn't that indicate a bad model fit? – user14717 Oct 11 '19 at 12:16
• I am not sure what you mean by "a different statistic for different means", but I would say that, while you are right that nonzero means of residuals may indicate problems, in most applications this is not a problem as including a constant in the original model will ensure that residuals have mean zero by construction. – Christoph Hanck Oct 11 '19 at 12:30
• Got it, thanks! – user14717 Oct 11 '19 at 12:32