hwwntest

Tests of White Noise using Wavelets

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

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