Description Usage Arguments Details Value Note Author(s) References See Also Examples

View source: R/autocovariances.R

White noise tests.

1 | ```
whiteNoiseTest(object, h0, ...)
``` |

`object` |
an object, such as sample autocorrelations or partial autocorrelations. |

`h0` |
the null hypothesis, currently "iid" or "garch". |

`...` |
additional arguments passed on to methods. |

`whiteNoiseTest`

carries out tests for white noise. The null
hypothesis is identified by argument `h0`

, based on which
`whiteNoiseTest`

chooses a suitable function to call. The
functions implementing the tests are also available to be called
directly and their documentation should be consulted for further
arguments that are available.

If `h0 = "iid"`

, the test statistics and rejection regions can be
use to test if the underlying time series is iid. Argument
`method`

specifies the method for portmanteau tests: one of
"LiMcLeod" (default), "LjungBox", "BoxPierce".

If `h0 = "garch"`

, the null hypothesis is that the time series is
GARCH, see Francq \& Zakoian (2010). The
tests in this case are based on a non-parametric estimate of the
asymptotic covariance matrix.

Portmonteau statistics and p-values are computed for the lags
specified by argument `nlags`

. If it is missing, suitable lags
are chosen automatically.

If argument `interval`

is TRUE, confidence intervals for the
individual autocorrelations or partial autocorrelations are computed.

a list with component `test`

and, if `ci=TRUE`

, component
`ci`

.

Further methods will be added in the future.

Georgi N. Boshnakov

FrancqZakoian2010garchsarima

\insertRefLi2004diagnosticsarima

`acfGarchTest`

(`h0 = "garch"`

),
`acfIidTest`

(`h0 = "iid"`

);

1 2 3 4 5 6 7 8 9 10 11 12 13 | ```
n <- 5000
x <- sarima:::rgarch1p1(n, alpha = 0.3, beta = 0.55, omega = 1, n.skip = 100)
x.acf <- autocorrelations(x)
x.pacf <- partialAutocorrelations(x)
x.iid <- whiteNoiseTest(x.acf, h0 = "iid", nlags = c(5,10,20), x = x, method = "LiMcLeod")
x.iid
x.iid2 <- whiteNoiseTest(x.acf, h0 = "iid", nlags = c(5,10,20), x = x, method = "LjungBox")
x.iid2
x.garch <- whiteNoiseTest(x.acf, h0 = "garch", nlags = c(5,10,20), x = x)
x.garch
``` |

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