nortsTest-package: 'Assessing Normality of Stationary Process.'

Description Details References

Description

Despite that several tests for normality in stationary processes have been proposed in the literature, consistent implementations of these tests in programming languages are limited. Four normality test are implemented. The Lobato and Velasco's, Epps, Psaradakis and Vavra, and the random projections tests for stationary process. Some other diagnostics such as, unit root test for stationarity, seasonal tests for seasonality, and arch effect test for volatility; are also performed. The package also offers residual diagnostic for linear time series models developed in several packages.

Details

We present four main functions, for testing the hypothesis of normality in stationary process, the epps.test, lobato.test, rp.test, and varvra.test. Additionally, we provide functions for unit root, seasonality and ARCH effects tests for stationary, and other additional methods for visual checks using the ggplot2 and forecast packages.

References

Epps, T.W. (1987). Testing that a stationary time series is Gaussian. The Annals of Statistic. 15(4), 1683-1698.https://projecteuclid.org/euclid.aos/1176350618.

Lobato, I., & Velasco, C. (2004). A simple test of normality in time series. Journal of econometric theory. 20(4), 671-689. doi:https://doi.org/10.1017/S0266466604204030.

Psaradakis, Z. & Vavra, M. (2017). A distance test of normality for a wide class of stationary process. Journal of Econometrics and Statistics. 2, 50-60. doi:https://doi.org/10.1016/j.ecosta.2016.11.005

Nieto-Reyes, A., Cuesta-Albertos, J. & Gamboa, F. (2014). A random-projection based test of Gaussianity for stationary processes. Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 124-141.

Hyndman, R. & Khandakar, Y. (2008). Automatic time series forecasting: the forecast package for R. Journal of Statistical Software. 26(3), 1-22.doi: 10.18637/jss.v027.i03.

Wickham, H. (2008). ggplot2: Elegant Graphics for Data Analysis. Springer-Verlag New York.


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