{"id":1105,"date":"2023-07-27T15:57:43","date_gmt":"2023-07-27T15:57:43","guid":{"rendered":"https:\/\/statorials.org\/cn\/ljung-%e7%9b%92%e6%b5%8b%e8%af%95-python\/"},"modified":"2023-07-27T15:57:43","modified_gmt":"2023-07-27T15:57:43","slug":"ljung-%e7%9b%92%e6%b5%8b%e8%af%95-python","status":"publish","type":"post","link":"https:\/\/statorials.org\/cn\/ljung-%e7%9b%92%e6%b5%8b%e8%af%95-python\/","title":{"rendered":"\u5982\u4f55\u5728 python \u4e2d\u6267\u884c ljung-box \u6d4b\u8bd5"},"content":{"rendered":"<p><\/p>\n<hr>\n<p><span style=\"color: #000000;\"><strong>Ljung-Box \u68c0\u9a8c<\/strong>\u662f\u4e00\u79cd\u7edf\u8ba1\u68c0\u9a8c\uff0c\u7528\u4e8e\u68c0\u67e5\u65f6\u95f4\u5e8f\u5217\u4e2d\u662f\u5426\u5b58\u5728\u81ea\u76f8\u5173\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u5b83\u4f7f\u7528\u4ee5\u4e0b\u5047\u8bbe\uff1a<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>H <sub>0<\/sub> \uff1a<\/strong>\u6b8b\u5dee\u72ec\u7acb\u5206\u5e03\u3002<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>H <sub>A<\/sub> \uff1a<\/strong>\u6b8b\u5dee\u4e0d\u72ec\u7acb\u5206\u5e03\uff1b\u5b83\u4eec\u8868\u73b0\u51fa\u5e8f\u5217\u76f8\u5173\u6027\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u7406\u60f3\u60c5\u51b5\u4e0b\uff0c\u6211\u4eec\u4e0d\u5e0c\u671b\u62d2\u7edd\u539f\u5047\u8bbe\u3002\u4e5f\u5c31\u662f\u8bf4\uff0c\u6211\u4eec\u5e0c\u671b\u68c0\u9a8c\u7684 p \u503c\u5927\u4e8e 0.05\uff0c\u56e0\u4e3a\u8fd9\u610f\u5473\u7740\u65f6\u95f4\u5e8f\u5217\u6a21\u578b\u7684\u6b8b\u5dee\u662f\u72ec\u7acb\u7684\uff0c\u8fd9\u901a\u5e38\u662f\u6211\u4eec\u5728\u521b\u5efa\u6a21\u578b\u65f6\u505a\u51fa\u7684\u5047\u8bbe\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u672c\u6559\u7a0b\u4ecb\u7ecd\u5982\u4f55\u5728 Python \u4e2d\u6267\u884c Ljung-Box \u6d4b\u8bd5\u3002<\/span><\/p>\n<h3><span style=\"color: #000000;\"><strong>\u793a\u4f8b\uff1aPython \u4e2d\u7684 Ljung-Box \u6d4b\u8bd5<\/strong><\/span><\/h3>\n<p><span style=\"color: #000000;\">\u8981\u5728 Python \u4e2d\u5bf9\u6570\u636e\u7cfb\u5217\u6267\u884c Ljung-Box \u6d4b\u8bd5\uff0c\u60a8\u53ef\u4ee5\u4f7f\u7528<strong>statsmodels<\/strong>\u5e93\u4e2d\u7684<a href=\"https:\/\/www.statsmodels.org\/stable\/generated\/statsmodels.stats.diagnostic.acorr_ljungbox.html\" target=\"_blank\" rel=\"noopener noreferrer\">acorr_ljungbox()<\/a>\u51fd\u6570\uff0c\u8be5\u51fd\u6570\u4f7f\u7528\u4ee5\u4e0b\u8bed\u6cd5\uff1a<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>acorr_ljungbox(x, \u504f\u79fb\u91cf=\u65e0)<\/strong><\/span><\/p>\n<p><span style=\"color: #000000;\">\u91d1\u5b50\uff1a<\/span><\/p>\n<ul>\n<li> <span style=\"color: #000000;\"><strong>x\uff1a<\/strong>\u6570\u636e\u7cfb\u5217<\/span><\/li>\n<li><span style=\"color: #000000;\"><strong>lags\uff1a<\/strong>\u8981\u6d4b\u8bd5\u7684\u6ede\u540e\u6570<\/span><\/li>\n<\/ul>\n<p><span style=\"color: #000000;\">\u6b64\u51fd\u6570\u8fd4\u56de\u68c0\u9a8c\u7edf\u8ba1\u91cf\u548c\u76f8\u5e94\u7684 p \u503c\u3002\u5982\u679c p \u503c\u4f4e\u4e8e\u67d0\u4e2a\u9608\u503c\uff08\u4f8b\u5982 \u03b1 = 0.05\uff09\uff0c\u60a8\u53ef\u4ee5\u62d2\u7edd\u539f\u5047\u8bbe\u5e76\u5f97\u51fa\u6b8b\u5dee\u4e0d\u662f\u72ec\u7acb\u5206\u5e03\u7684\u7ed3\u8bba\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u4ee5\u4e0b\u4ee3\u7801\u5c55\u793a\u4e86\u5982\u4f55\u4f7f\u7528\u6b64\u51fd\u6570\u5bf9\u540d\u4e3a\u201cSUNACTIVITY\u201d\u7684\u5185\u7f6e statsmodels \u6570\u636e\u96c6\u6267\u884c Ljung-Box \u6d4b\u8bd5\uff1a<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #107d3f;\">import<\/span> statsmodels.api <span style=\"color: #107d3f;\">as<\/span> sm\n\n<span style=\"color: #008080;\">#load data series<\/span>\ndata = sm.datasets.sunspots.load_pandas().data\n\n<span style=\"color: #008080;\">#view first ten rows of data series<\/span> \ndata[:5]\n\nYEAR SUNACTIVITY\n0 1700.0 5.0\n1 1701.0 11.0\n2 1702.0 16.0\n3 1703.0 23.0\n4 1704.0 36.0\n\n<span style=\"color: #008080;\">#fit ARMA model to dataset\n<\/span>res = sm. <span style=\"color: #3366ff;\">tsa<\/span> . <span style=\"color: #3366ff;\">ARMA<\/span> (data[\" <span style=\"color: #993300;\">SUNACTIVITY<\/span> \"],(1,1)). <span style=\"color: #3366ff;\">fit<\/span> (disp=-1)\n\n<span style=\"color: #008080;\">#perform Ljung-Box test on residuals with lag=5<\/span>\nsm. <span style=\"color: #3366ff;\">stats<\/span> . <span style=\"color: #3366ff;\">acorr_ljungbox<\/span> (res. <span style=\"color: #3366ff;\">resid<\/span> , lags=[5], return_df= <span style=\"color: #008000;\">True<\/span> )\n\n          lb_stat lb_pvalue\n5 107.86488 1.157710e-21<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u68c0\u9a8c\u7edf\u8ba1\u91cf\u4e3a<strong>107.86488<\/strong> \uff0c\u68c0\u9a8c p \u503c\u4e3a<strong>1.157710e-21<\/strong> \uff0c\u8fdc\u5c0f\u4e8e 0.05\u3002\u56e0\u6b64\uff0c\u6211\u4eec\u62d2\u7edd\u68c0\u9a8c\u7684\u539f\u5047\u8bbe\u5e76\u5f97\u51fa\u6b8b\u5dee\u4e0d\u662f\u72ec\u7acb\u7684\u7ed3\u8bba\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u8bf7\u6ce8\u610f\uff0c\u5728\u6b64\u793a\u4f8b\u4e2d\u6211\u4eec\u9009\u62e9\u4f7f\u7528\u504f\u79fb\u503c 5\uff0c\u4f46\u60a8\u53ef\u4ee5\u9009\u62e9\u8981\u7528\u4e8e\u504f\u79fb\u7684\u4efb\u4f55\u503c\u3002\u4f8b\u5982\uff0c\u6211\u4eec\u53ef\u4ee5\u4f7f\u7528\u503c 20\uff1a<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008080;\">#perform Ljung-Box test on residuals with lag=20<\/span>\nsm. <span style=\"color: #3366ff;\">stats<\/span> . <span style=\"color: #3366ff;\">acorr_ljungbox<\/span> (res. <span style=\"color: #3366ff;\">resid<\/span> , lags=[20], return_df= <span style=\"color: #008000;\">True<\/span> )\n\n           lb_stat lb_pvalue\n20 343.634016 9.117477e-61<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u8be5\u6d4b\u8bd5\u7684\u68c0\u9a8c\u7edf\u8ba1\u91cf\u4e3a<strong>343.634016<\/strong> \uff0c\u8be5\u6d4b\u8bd5\u7684 p \u503c\u4e3a<strong>9.117477e-61<\/strong> \uff0c\u8fdc\u5c0f\u4e8e 0.05\u3002\u56e0\u6b64\uff0c\u6211\u4eec\u518d\u6b21\u62d2\u7edd\u68c0\u9a8c\u7684\u539f\u5047\u8bbe\u5e76\u5f97\u51fa\u6b8b\u5dee\u4e0d\u662f\u72ec\u7acb\u7684\u7ed3\u8bba\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u6839\u636e\u60a8\u7684\u5177\u4f53\u60c5\u51b5\uff0c\u60a8\u53ef\u4ee5\u9009\u62e9\u8f83\u4f4e\u6216\u8f83\u9ad8\u7684\u504f\u79fb\u503c\u3002<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Ljung-Box \u68c0\u9a8c\u662f\u4e00\u79cd\u7edf\u8ba1\u68c0\u9a8c\uff0c\u7528\u4e8e\u68c0\u67e5\u65f6\u95f4\u5e8f\u5217\u4e2d\u662f\u5426\u5b58\u5728\u81ea\u76f8\u5173\u3002 \u5b83\u4f7f\u7528\u4ee5\u4e0b\u5047\u8bbe\uff1a H 0 \uff1a\u6b8b\u5dee\u72ec [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[11],"tags":[],"class_list":["post-1105","post","type-post","status-publish","format-standard","hentry","category-11"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.5 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>\u5982\u4f55\u5728 Python \u4e2d\u6267\u884c Ljung-Box \u6d4b\u8bd5 - Statorials<\/title>\n<meta name=\"description\" content=\"\u672c\u6559\u7a0b\u901a\u8fc7\u793a\u4f8b\u8bf4\u660e\u5982\u4f55\u5728 Python \u4e2d\u6267\u884c Ljung-Box \u6d4b\u8bd5\u3002\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/statorials.org\/cn\/ljung-\u76d2\u6d4b\u8bd5-python\/\" \/>\n<meta property=\"og:locale\" content=\"zh_CN\" \/>\n<meta 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