Package: hwwntest 1.3.2

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.

Authors:Delyan Savchev [aut], Guy Nason [aut, cre]

hwwntest_1.3.2.tar.gz
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manual.pdf |manual.html✨
card.svg |card.png
hwwntest/json (API)

# Install 'hwwntest' in R:

install.packages('hwwntest', repos = c('https://guynason.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.46 score 1 stars 29 scripts 268 downloads 16 exports 3 dependencies

Last updated from:e7c937e66c. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	100
source / vignettes	OK	172
linux-release-x86_64	OK	109
macos-release-arm64	OK	128
macos-oldrel-arm64	OK	70
windows-devel	OK	67
windows-release	OK	69
windows-oldrel	OK	87
wasm-release	OK	95

Exports:bartlettB.test compute.rejection cumperiod d00.test genwwn.powerplot genwwn.test genwwn.thpower hwwn.dw hwwn.test hywavwn.test hywn.test Macdonald sqcoefvec sqndwd sqndwdecomp sqwd

Dependencies:MASS polynom wavethresh

Help page	Topics
Tests of White Noise using Wavelets	hwwntest-package hwwntest
Bartlett's B test for white noise	bartlettB.test
Function to compute empirical size or power for various tests of white noise.	compute.rejection
Compute cumulative normalized periodogram.	cumperiod
Test for white noise based on the coarsest scale Haar wavelet coefficient of the spectrum.	d00.test
Plot (approximation) to the theoretical power of the 'genwwn.test' test for ARMA processes (including, of course, white noise itself) for a range of sample sizes.	genwwn.powerplot
White noise test using general wavelets.	genwwn.test
Compute (approximation) to the theoretical power of the 'genwwn.test' test for ARMA processes (including, of course, white noise itself).	genwwn.thpower
Compute discrete wavelets	hwwn.dw
Perform a test for white noise on a time series.	hwwn.test
Hybrid wavelet test of white noise.	hywavwn.test
Hybrid of Box-Ljung test, Bartlett B test, Haar wavelet and General wavelet tests.	hywn.test
Compute the Macdonald density function for a specified parameter value 'm' at a vector of 'x' values.	Macdonald
Compute coefficients required for approximaing the wavelet transform using the square of wavelets.	sqcoefvec
Compute the non-decimated squared wavelet transform.	sqndwd
Brute-force calculation of the non-decimated squared wavelet transform.	sqndwdecomp
Compute expansion with respect to squared wavelets.	sqwd

Package: hwwntest 1.3.2

hwwntest: Tests of White Noise using Wavelets

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