Bartlett's test uses the Kolmogorov-Smirnov test applied to the cumulative normalized periodogram.
The time series you wish to test, of any length.
If TRUE then the normalized cumulative periodogram is plotted along with a straight line that indicates the theoretical line of this object under the null hypothesis. A further plot of the density of the true statistic under the null hypothesis is produced.
This test: (i) computes the periodogram, (ii) derives the
normalized cumulative periodogram using the
cumperiod function. Under the null hypothesis
of white noise the periodogram is a set of iid exponential
random variables, asymptotically. So, the cumulative periodogram
should look like a straight line at a 45 degree angle.
The test statistic is the maximum deviation of the normalized
cumulative periodogram and this straight line. The p-value of
the test is computed within the function by the
function. This is an example of a Kolmogorov-Smirnov statistical
An object of class
htest. A list containing the following
The value of the Bartlett test statistic.
The p-value of the test
A text string saying what the method was
Code was based on Professor Newton's explanation
G. P. Nason
Bartlett, M.S. (1967) Some Remarks on the Analysis of Time-Series. J. R. Statist. Soc. B, 54, 25-38.
http://www.stat.tamu.edu/~jnewton/stat626/topics/topics/topic13.pdf Link to Professor H. Joseph Newton's web page on Bartlett's test
Nason, G.P. and Savchev, D. (2014) White noise testing using wavelets. Stat, 3, 351-362. http://dx.doi.org/10.1002/sta4.69
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.