1) A small p-value is evidence that there is dependence.
So you want to see large p-values. But a large p-value
is not really evidence of independence -- merely a lack
of evidence of dependence.
Hello Aroon,
additionally to the points voiced by Patrick, only if your series at hand is
I'm using the Box-Ljung test (from within R) to test if a
time-series in independently distributed.
I have window$r.nifty, which is a time-series of returns on the Nifty
market index.
# Box-Ljung test on Nifty --
test = Box.test(window$r.nifty, lag=10, type=Ljung);
cat(Box Ljung prob
1) A small p-value is evidence that there is dependence.
So you want to see large p-values. But a large p-value
is not really evidence of independence -- merely a lack
of evidence of dependence.
You might be able to get a hint of the power of your test
(which is what you really care about) from
