View source: R/autocovariances.R
nvarOfAcfKP | R Documentation |
Compute variances of autocorrelations under ARCH-type hypothesis.
nvarOfAcfKP(x, maxlag, center = FALSE, acfscale = c("one", "mom"))
x |
time series. |
maxlag |
a positive integer, the maximal lag. |
center |
logical flag, if FALSE, the default, don't center the time series before squaring, see Details. |
acfscale |
character string, specifying what factor to use for the
autocovariances. |
nvarOfAcfKP
computes estimates of n
times the variances
of sample autocorrelations of white noise time series. It implements
the result of \insertCitekokoszka2011nonlinearitysarima which
holds under weak assumptions. In particular, it can be used to test if
the true autocorrelations of a time series are equal to zero in GARCH
modelling.
a numeric vector
Georgi N. Boshnakov
whiteNoiseTest
## see examples for whiteNoisTest()
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