whitenoise_test: White Noise Test

In wjunger/ares: Environmental air pollution epidemiology: a library for time series analysis

Description

Run a series of white noise tests

Usage

whitenoise_test(object, type = "deviance", k = 25, ...)

Arguments

object	a model fitted by fit_core or a vector of residuals
type	a quoted string indicating the type of residuals to extract. Default is "deviance". See get_residuals
k	an integer indicating the number of lags to compute the partial autocorrelation coefficients
...	further options for ljungbox_test

Details

This function submits the extracted residuals to a series of white noise tests.

For normality evaluation the robust tests Bownman-Shenton and Jarque-Bera tests are implemented. Besides, Kolmogorov-Smirnov and Shapiro tests are performed using ks.test and shapiro.test respectively.

Serial dependence of the residuals is evaluated using ljungbox_test.

Heteroscedasticity tests will be implemented soon.

Results are printed out on the console.

Value

This function does not return a value.

Author(s)

Washington Junger [e-mail] and Antonio Ponce de Leon [e-mail]

References

Bowman, K.O. and Shenton L.R. (1975) Omnibus test contours for departures from normality based on b1 and b2. Biometrika 62, 243–250.

Jarque, C. M. and Bera, A. K. (1987) A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55(2), 163–172.

Spanos, A. (1999) Probability Theory and Statistical Inference. Cambridge.

See Also

get_residuals,acf

Examples

data(admrio)
setup(admrio,"date")
f <- resp5~s(time)+weekdays+s(tmpmax)+s(humid)
m <- fit_core(f)
r <- get_residuals(m)
whitenoise_test(r)

wjunger/ares documentation built on Dec. 23, 2021, 5:17 p.m.