whitenoise.test: Univariate Test for White Noise
In normwhn.test: Normality and White Noise Testing
Description
Usage
Arguments
Details
Value
Author(s)
References
View source: R/whitenoise.test.R
Description
Performs an Univariate Test for White Noise. The null is white noise rather than "strict" white noise, thus permitting
weak dependence in the higher moments of the variable.
Usage
1
Arguments
x
the input is a vector of length n (observations) or a n by 1 matrix
Details
A von Mises-type statistic is computed to be valued against a N(0,4) distribution. Finite sample test statistics
are thus easily generated.
Value
A list with class htest containing the following components:
n
no. of observations
T
length of periodogram used
MN
von Mises statistic
tMN
test statistic
test value
p-value for the test
Author(s)
Peter Wickham
References
Lobato, I., and C. Velasco (2004). "A Simple and General Test for White Noise", Econometric Society, Latin-America Meetings, Paper No. 112.
normwhn.test documentation built on May 2, 2019, 10:59 a.m.
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Description Usage Arguments Details Value Author(s) References
View source: R/whitenoise.test.R
Description
Performs an Univariate Test for White Noise. The null is white noise rather than "strict" white noise, thus permitting weak dependence in the higher moments of the variable.
Usage
1 |
Arguments
x |
the input is a vector of length n (observations) or a n by 1 matrix |
Details
A von Mises-type statistic is computed to be valued against a N(0,4) distribution. Finite sample test statistics are thus easily generated.
Value
A list with class htest containing the following components:
n |
no. of observations |
T |
length of periodogram used |
MN |
von Mises statistic |
tMN |
test statistic |
test value |
p-value for the test |
Author(s)
Peter Wickham
References
Lobato, I., and C. Velasco (2004). "A Simple and General Test for White Noise", Econometric Society, Latin-America Meetings, Paper No. 112.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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