README.md

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nortsTest: An R Package for Assessing Normality of Stationary Process

nortsTest is an R package for assessing normality of stationary process, it tests if a given data follows a stationary Gaussian process. The package works as an extension of the nortest package that performs normality tests in random samples (independent data). The four principal package’s functions are:

Additionally, inspired in the function check.residuals() of the forecast package, we provide the check_residuals methods for checking model’s assumptions using the estimated residuals. The function checks stationarity, homoscedasticity and normality, presenting a report of the used tests and conclusions.

Checking normality assumptions

library(nortsTest)

Classic hypothesis tests for normality such as Shapiro & Wilk, Anderson & Darling, or Jarque & Bera, do not perform well on dependent data. Therefore, these tests should not be used to check whether a given time series has been drawn from a Gaussian process. As a simple example, we generate a stationary ARMA(1,1) process simulated using an t student distribution with 7 degrees of freedom, and perform the Anderson-Darling test from the nortest package.

x = arima.sim(100,model = list(ar = 0.32,ma = 0.25),rand.gen = rt,df = 7)

nortest::ad.test(x)
#> 
#>  Anderson-Darling normality test
#> 
#> data:  x
#> A = 0.50769, p-value = 0.1954

The null hypothesis is that the data has a normal distribution and therefore, follows a Gaussian Process. At α = 0.05 significance level the alternative hypothesis is rejected and wrongly concludes the data follows a Gaussian process. Applying the Lobato and Velasco’s test of our package, the null hypothesis is correctly rejected.

lobato.test(x)
#> 
#>  Lobatos and Velascos test
#> 
#> data:  x
#> lobato = 16.864, df = 2, p-value = 0.0002177
#> alternative hypothesis: x does not follow a Gaussian Process

Example: stationary AR(2) process

In the next example we generate a stationary AR(2) process, using an exponential distribution with rate of 5, and perform the epps and rp with k = 5 random projections tests. With a significance level at alpha = 0.05, the null hypothesis of non-normality is rejected.

set.seed(298)
# Simulating the AR(2) process
x = arima.sim(250,model = list(ar =c(0.2,0.3)),rand.gen = rexp,rate = 5)

# tests
epps.test(x)
#> 
#>  epps test
#> 
#> data:  x
#> epps = 38.158, df = 2, p-value = 5.178e-09
#> alternative hypothesis: x does not follow a Gaussian Process
rp.test(x,k = 5)
#> 
#>  k random projections test
#> 
#> data:  x
#> k = 5, lobato = 188.771, epps = 28.385, p-value = 0.0007823
#> alternative hypothesis: x does not follow a Gaussian Process

Checking model’s assumptions: cardox data

As an example, we analyze the monthly mean carbon dioxide (in ppm) from the astsa package, measured at Mauna Loa Observatory, Hawaii. from March, 1958 to November 2018. The carbon dioxide data measured as the mole fraction in dry air, on Mauna Loa constitute the longest record of direct measurements of CO2 in the atmosphere. They were started by C. David Keeling of the Scripps Institution of Oceanography in March of 1958 at a facility of the National Oceanic and Atmospheric Administration.

library(astsa)
data("cardox")

autoplot(cardox,xlab = "years",ylab = " CO2 (ppm)",color = "darkred",
size = 1,main = "Carbon Dioxide Levels at Mauna Loa")

The time series clearly has trend and seasonal components, for analyzing the cardox data we proposed a Gaussian linear state space model. We use the model’s implementation from the forecast package as follows:

library(forecast)
#> 
#> Attaching package: 'forecast'
#> The following object is masked from 'package:astsa':
#> 
#>     gas

model = ets(cardox)
summary(model)
#> ETS(M,A,A) 
#> 
#> Call:
#>  ets(y = cardox) 
#> 
#>   Smoothing parameters:
#>     alpha = 0.5591 
#>     beta  = 0.0072 
#>     gamma = 0.1061 
#> 
#>   Initial states:
#>     l = 314.6899 
#>     b = 0.0696 
#>     s = 0.6611 0.0168 -0.8536 -1.9095 -3.0088 -2.7503
#>            -1.2155 0.6944 2.1365 2.7225 2.3051 1.2012
#> 
#>   sigma:  9e-04
#> 
#>      AIC     AICc      BIC 
#> 3136.280 3137.140 3214.338 
#> 
#> Training set error measures:
#>                     ME     RMSE       MAE         MPE       MAPE      MASE
#> Training set 0.0232403 0.312003 0.2430829 0.006308831 0.06883992 0.1559102
#>                    ACF1
#> Training set 0.07275949

The best fitted model is a multiplicative level, additive trend and seasonality state space model. If the model’s assumptions are satisfied, then the model’s errors behave like a Gaussian stationary process. These assumptions can be checked using our check_residuals functions.

In this case, we use an Augmented Dickey-Fuller test for stationary assumption, and a random projections test for normality.

check_residuals(model,unit_root = "adf",normality = "rp",plot = TRUE)
#> 
#>  *************************************************** 
#> 
#>  Unit root test for stationarity: 
#> 
#>  Augmented Dickey-Fuller Test
#> 
#> data:  y
#> Dickey-Fuller = -9.7249, Lag order = 8, p-value = 0.01
#> alternative hypothesis: stationary
#> 
#> 
#>  Conclusion: y is stationary
#>  *************************************************** 
#> 
#>  Goodness of fit test for Gaussian Distribution: 
#> 
#>  k random projections test
#> 
#> data:  y
#> k = 2, lobato = 3.8260, epps = 1.3156, p-value = 0.3328
#> alternative hypothesis: y does not follow a Gaussian Process
#> 
#> 
#>  Conclusion: y follows a Gaussian Process
#>  
#>  ***************************************************

Now that all the model’s assumptions are checked, the model is accepted and can be used to forecast.

autoplot(forecast(model,h = 12),include = 100,xlab = "years",ylab = " CO2 (ppm)",
         main = "Forecast: Carbon Dioxide Levels at Mauna Loa")

How to install nortsTest?

The current development version can be downloaded from GitHub via

if (!requireNamespace("remotes")) install.packages("remotes")

remotes::install_github("asael697/nortsTest",dependencies = TRUE)

Additional test functions

The nortsTest package offers additional functions for descriptive analysis in univariate time series.

For visual diagnostic, we offer ggplot2 methods for numeric and time-series data. Most of the functions were adapted from Rob Hyndman’s forecast package.

Accepted models for residual check

Currently our check_residuals() and check_plot() methods are valid for the current models and classes:

For overloading more functions, methods or packages, please make a pull request or send a mail to: asael_am@hotmail.com

References



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nortsTest documentation built on June 17, 2021, 5:06 p.m.