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

In hwwntest: Tests of White Noise using Wavelets

Test for white noise based on the coarsest scale Haar wavelet coefficient of the spectrum.

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. \Sexpr[results=rd]{tools:::Rd_expr_doi("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 Sept. 13, 2023, 9:06 a.m.