NNS.seas: NNS Seasonality Test

In OVVO-Financial/NNS: Nonlinear Nonparametric Statistics

NNS Seasonality Test

Description

Seasonality test based on the coefficient of variation for the variable and lagged component series. A result of 1 signifies no seasonality present.

Usage

NNS.seas(variable, modulo = NULL, mod.only = TRUE, plot = TRUE)

Arguments

variable	a numeric vector.
modulo	integer(s); NULL (default) Used to find the nearest multiple(s) in the reported seasonal period.
mod.only	logical; TRUE (default) Limits the number of seasonal periods returned to the specified modulo.
plot	logical; TRUE (default) Returns the plot of all periods exhibiting seasonality and the variable level reference.

Value

Returns a matrix of all periods exhibiting less coefficient of variation than the variable with "all.periods"; and the single period exhibiting the least coefficient of variation versus the variable with "best.period"; as well as a vector of "periods" for easy call into NNS.ARMA.optim. If no seasonality is detected, NNS.seas will return ("No Seasonality Detected").

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Examples

## Not run: 
set.seed(123)
x <- rnorm(100)

## To call strongest period based on coefficient of variation:
NNS.seas(x, plot = FALSE)$best.period

## Using modulos for logical seasonal inference:
NNS.seas(x, modulo = c(2,3,5,7), plot = FALSE)

## End(Not run)

OVVO-Financial/NNS documentation built on April 22, 2024, 10:26 p.m.