wwntests

swMATH45164CRANwwntestsMaRDI QIDQ1333895

Hypothesis Tests for Functional Time Series

Mihyun Kim, Daniel Petoukhov

Last update: 1 December 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0.2, 1.0.0, 1.0.1, 1.1.0

Source code repository: https://github.com/cran/wwntests

Description

Provides a collection of white noise hypothesis tests for functional time series and related visualizations. These include tests based on the norms of autocovariance operators that are built under both strong and weak white noise assumptions. Additionally, tests based on the spectral density operator and on principal component dimensional reduction are included, which are built under strong white noise assumptions. Also, this package provides goodness-of-fit tests for functional autoregressive of order 1 models. These methods are described in Kokoszka et al. (2017) <doi:10.1016/j.jmva.2017.08.004>, Characiejus and Rice (2019) <doi:10.1016/j.ecosta.2019.01.003>, Gabrys and Kokoszka (2007) <doi:10.1198/016214507000001111>, and Kim et al. (2023) <doi:10.1214/23-SS143> respectively.

Cites work

• Inference for the autocovariance of a functional time series under conditional heteroscedasticity
• A general white noise test based on kernel lag-window estimates of the spectral density operator
• Portmanteau Test of Independence for Functional Observations
• White noise testing for functional time series

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