cumperiod: Compute cumulative normalized periodogram.

Description Usage Arguments Details Value Note Author(s) References See Also Examples

Description

Computes cumulative normalized periodogram.

Usage

1

Arguments

x

The time series you wish to compute the cumulative normalized periodogram.

Details

Does as the title suggests

Value

A list containing the following two components:

wp

The Fourier frequencies where the cumulative normalized periodogram is evaluated at

cumperiod

The cumulative normalized periodogram.

Note

Code was based on Professor Newton's explanation

Author(s)

G. P. Nason

References

Bartlett, M.S. (1967) Some Remarks on the Analysis of Time-Series. J. R. Statist. Soc. B, 54, 25-38.

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

See Also

bartlettB.test, compute.rejection

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
#
# Use example time series
#
x <- rnorm(100)

x.cp <- cumperiod(x)
#
# Can plot it, if you like
#
## Not run: plot(x.cp$wp, x.cp$cumperiod, type="l", xlab="Frequency",
	ylab="Cumulative Normalized Periodogram")
## End(Not run)
#
# You can try replacing the x by, say, an AR(1) using arima.sim and
# you'll get a very different shaped line, depending on the AR(1)
# parameter.

hwwntest documentation built on May 2, 2019, 6:39 a.m.