hwwntest: Tests of White Noise using Wavelets
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.
Version: |
1.3.2 |
Depends: |
R (≥ 3.3) |
Imports: |
parallel, polynom, wavethresh |
Published: |
2023-09-13 |
Author: |
Delyan Savchev [aut],
Guy Nason [aut, cre] |
Maintainer: |
Guy Nason <g.nason at imperial.ac.uk> |
License: |
GPL-2 |
NeedsCompilation: |
no |
In views: |
TimeSeries |
CRAN checks: |
hwwntest results |
Documentation:
Downloads:
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