d00.test: Test for white noise based on the coarsest scale Haar wavelet...

In hwwntest: Tests of White Noise using Wavelets

Description

Computes the coarsest scale Haar wavelet coefficient of the periodogram but directly using a formula based on a particular linear combination of autocorrelation coefficients. Then performs a hypothesis test by comparing the test statistic to a standard normal distribution.

Usage

d00.test(x)

Arguments

x	The time series you want to test, of arbitrary length.

Value

An object of class htest containing the following components.

statistic	The test statistic
p.value	The p-value of the test
method	A test string indicating the method

Author(s)

Delyan Savchev and Guy Nason

References

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

compute.rejection,hwwn.test

Examples

#
# Test data set
#
x <- rnorm(30)
#
#
answer <- d00.test(x)
#
# My answer was:
#
#	d00 test on acfs
#
#data:  
#= -1.696, p-value = 0.08989

hwwntest documentation built on Aug. 6, 2018, 5:02 p.m.