tests/testthat/test-portmanteau_tests.R

In fChange: Functional Change Point Detection and Analysis

test_that("BM p-values in White Noise Tests", {
  set.seed(123)
  b <- generate_brownian_motion(250)

  res <- portmanteau_tests(b, test = "single", lag = 10)
  expect_equal(round(res$pvalue, 7), 0.262405)
  res <- portmanteau_tests(b, test = "single", lag = 10, block_size = 1, method = "bootstrap")
  expect_equal(round(res$pvalue, 7), 0.992)

  res <- portmanteau_tests(b, test = "multi", lag = 10, alpha = 0.01)
  expect_equal(round(res$pvalue, 7), 0.7372284)

  res <- portmanteau_tests(b,
    test = "spectral", kernel = bartlett_kernel,
    bandwidth = NULL, alpha = 0.05
  )
  expect_equal(round(res$pvalue, 7), 0.5569972)

  res <- portmanteau_tests(b,
    test = "spectral", alpha = 0.1, kernel = parzen_kernel,
    bandwidth = adaptive_bandwidth(b, kernel = parzen_kernel)
  )
  expect_equal(round(res$pvalue, 7), 0.683296)

  res <- portmanteau_tests(b, test = "independence", components = 3, lag = 3)
  expect_equal(round(res$pvalue, 7), 0.5769329)
})

test_that("Electricity statistics in White Noise Tests", {
  set.seed(123)
  b <- electricity

  res <- portmanteau_tests(b, test = "single", lag = 10)
  expect_equal(round(res$statistic, 7), 14539596)
  res <- portmanteau_tests(b, test = "single", lag = 1, method = "bootstrap", block_size = 1)
  expect_equal(round(res$pvalue, 7), 0)

  res <- portmanteau_tests(b, test = "multi", lag = 10, alpha = 0.01)
  expect_equal(round(res$statistic, 7), 86336179)

  res <- portmanteau_tests(b,
    test = "spectral", kernel = bartlett_kernel,
    bandwidth = NULL, alpha = 0.05
  )
  expect_equal(round(res$statistic, 7), 16.6003364)

  res <- portmanteau_tests(b,
    test = "spectral", alpha = 0.1, kernel = parzen_kernel,
    bandwidth = adaptive_bandwidth(b, kernel = parzen_kernel)
  )
  expect_equal(round(res$statistic, 7), 34.45559)

  res <- portmanteau_tests(b, test = "independence", components = 3, lag = 3)
  expect_equal(round(res$statistic, 7), 753.08642)
})