1 files changed, 54 insertions, 0 deletions
diff --git a/src/boost/libs/math/test/ljung_box_test.cpp b/src/boost/libs/math/test/ljung_box_test.cpp
new file mode 100644
index 000000000..2c647b95d
--- /dev/null
+++ b/src/boost/libs/math/test/ljung_box_test.cpp
@@ -0,0 +1,54 @@
+/*
+ * Copyright Nick Thompson, 2019
+ * Use, modification and distribution are subject to the
+ * Boost Software License, Version 1.0. (See accompanying file
+ * LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+ */
+
+#include "math_unit_test.hpp"
+#include <numeric>
+#include <utility>
+#include <random>
+#include <boost/math/statistics/ljung_box.hpp>
+
+using boost::math::statistics::ljung_box;
+
+template<class Real>
+void test_trivial()
+{
+
+  // Validate in R:
+  // > v <- c(1,2)
+  // > Box.test(v, lag=1, "Ljung")
+  //	Box-Ljung test
+  // data:  v
+  // X-squared = 2, df = 1, p-value = 0.1573
+
+  std::vector<Real> v{1,2};
+
+  double expected_statistic = 2;
+  double expected_pvalue = 0.15729920705028455;
+
+  auto [computed_statistic, computed_pvalue] = ljung_box(v, 1);
+  CHECK_ULP_CLOSE(expected_statistic, computed_statistic, 10);
+  CHECK_ULP_CLOSE(expected_pvalue, computed_pvalue, 30);
+}
+
+
+void test_agreement_with_mathematica()
+{
+  std::vector<double> v{0.7739928761039216,-0.4468259278452086,0.98287381303903,-0.3943029116201079,0.6569015496559457};
+  double expected_statistic = 10.2076093223439;
+  double expected_pvalue = 0.00607359458123835072;
+
+  auto [computed_statistic, computed_pvalue] = ljung_box(v);
+  CHECK_ULP_CLOSE(expected_statistic, computed_statistic, 3);
+  CHECK_ULP_CLOSE(expected_pvalue, computed_pvalue, 3);
+}
+
+int main()
+{
+    test_trivial<double>();
+    test_agreement_with_mathematica();
+    return boost::math::test::report_errors();
+}