whitenoise.test {normwn.test} | R Documentation |
Performs a univariate test for white noise. The null is white noise rather than "strict" white noise which permits weak dependence in the higher moments of the variable
whitenoise.test(x)
x |
the input is a vector of length n (observations) or a n by 1 matrix |
A von Mises-type statistic is computed to be valued against a N(0,4) distibution. Finite sample test statistics are thus easily generated. These can be requested from the author based on 5,000 replications.
A list with claas htest
containing the following components:
n |
no. of observations |
T |
length of periodogram used |
MN |
von Mises statistic |
tMN |
test statistic |
test value |
p-value for the test |
Peter Wickham
Lobato, I., and C. Velasco (2004). "A Simple and General Test for White Noise". Econometric Society, Latin-America Meetings, Paper No. 112