hwwntest

MaRDI QIDQ149276CRANFDO

Authors Guy P. Nason, Delyan Savchev

Last update 13 September 2023

Copyright license GNU General Public License, version 2.0

Software version identifier 1.3.1, 1.3, 1.3.2

Description

Provides methods to test whether time series is consistentwith white noise. Two new tests based on Haar wavelets and generalwavelets described by Nason and Savchev (2014)<doi:10.1002/sta4.69> are provided and, for comparison purposesthis package also implements theB test of Bartlett (1967) <doi:10.2307/2333850>. Functionalityis provided to compute an approximation to the theoreticalpower of the general wavelet test in the case of generalARMA alternatives.

Cites work

• Some Remarks on the Analysis of Time-Series
• White noise testing using wavelets

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