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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 |
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Author | Delyan Savchev [aut], Guy Nason [aut, cre] |
Maintainer | Guy Nason <g.nason@imperial.ac.uk> |
License | GPL-2 |
Version | 1.3.2 |
Package repository | View on CRAN |
Installation |
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