Tests of White Noise using Wavelets
Test for white noise based on the coarsest scale Haar wavelet coeffici...
Plot (approximation) to the theoretical power of the genwwn.test tes...
White noise test using general wavelets.
Compute (approximation) to the theoretical power of the genwwn.test ...
Compute discrete wavelets
Perform a test for white noise on a time series.
tools:::Rd_package_title("hwwntest")
Hybrid wavelet test of white noise.
Hybrid of Box-Ljung test, Bartlett B test, Haar wavelet and General wa...
Compute the Macdonald density function for a specified parameter value...
Compute coefficients required for approximaing the wavelet transform u...
Compute the non-decimated squared wavelet transform.
Brute-force calculation of the non-decimated squared wavelet transform...
Compute expansion with respect to squared wavelets.
Bartlett's B test for white noise
Function to compute empirical size or power for various tests of white...
Compute cumulative normalized periodogram.
Provides methods to test whether time series is consistent with white noise. Two new tests based on Haar wavelets and general wavelets described by Nason and Savchev (2014) <doi:10.1002/sta4.69> are provided and, for comparison purposes this package also implements the B test of Bartlett (1967) <doi:10.2307/2333850>. Functionality is provided to compute an approximation to the theoretical power of the general wavelet test in the case of general ARMA alternatives.