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.
- Version1.3.2
- R versionunknown
- LicenseGPL-2
- Needs compilation?No
- Last release09/13/2023
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Team
Guy Nason
Delyan Savchev
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- Imports2 packages