hwwntest (Q149276)
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Tests of White Noise using Wavelets
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | hwwntest |
Tests of White Noise using Wavelets |
Statements
13 September 2023
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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.
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