whitenoise.test {normwn.test} | R Documentation |
Performs an univariate test for white noise. The null is "white noise" rather than "strict white noise" which permits weak dependence in the higher moments of a variable
whitenoise.test(x)
x |
the input is a vector of length n (observations) or an n by 1 matrix |
A von Mises-type statistic is computed to be valued against a N(0,4) distribution. Finite sample test statistics are thus easily generated.
A list with class 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
I. Lobato and C. Velasco (2004). "A Simple and General Test for White Noise". Econometric Society, Latin-American Meetings, paper No. 112