hwwntest

Tests of White Noise using Wavelets

CRAN Package

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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  • Imports2 packages