difference.sign.test {hacks}R Documentation

Difference-Sign Test for Checking iid Hypothesis

Description

'difference.sign.test' is a non-parametric test, used to test the null hypothesis that the input are values of independent and identically distributed random variables. We count the number of values of i such that y_i > y_{i-1} or the other way around.

Usage

difference.sign.test(x)

Arguments

x a vector or a time series object.

Note

"The differnce-sign test must be used with caution. A set of observations exhibiting a strong cyclic component will pass the difference-sign test for randomness, since roughly half of the observations will be points of increase."

Author(s)

Vicky Yang

References

Brockwell and Davis (2002) Introduction to Time Series and Forecasting. Chapter 1. New York: Springer.

See Also

turning.point.test, rank.test

Examples

# sequence with dependency 
x <- arima.sim(n = 150, list(ar = c(0.889)))
difference.sign.test(x)

# iid sequence
difference.sign.test(rnorm(200))

[Package hacks version 0.1-8 Index]