hwwntest: Tests of White Noise using Wavelets

Provides methods to test whether time series is consistent with white noise. Two new tests based on Haar wavelets and general wavelets described by Nason and Savchev (2014) <doi:10.1002/sta4.69> are provided and, for comparison purposes this package also implements the B test of Bartlett (1967) <doi:10.2307/2333850>. Functionality is provided to compute an approximation to the theoretical power of the general wavelet test in the case of general ARMA alternatives.

Package details

AuthorDelyan Savchev [aut], Guy Nason [aut, cre]
MaintainerGuy Nason <g.nason@imperial.ac.uk>
LicenseGPL-2
Version1.3.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("hwwntest")

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hwwntest documentation built on Sept. 13, 2023, 9:06 a.m.