turning.point.test {hacks}R Documentation

Turning Point Test for Checking iid Hypothesis

Description

'turning.point.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 say that there is a turning point at time i, 1<i<n, if y_{i-1}<y_i and y_i>y_{i+1} or if y_{i-1} > y_i and y_i < y_{i+1}.

Usage

turning.point.test(x)

Arguments

x a vector or a time series object.

Author(s)

Vicky Yang

References

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

See Also

difference.sign.test, rank.test

Examples

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

# iid sequence
turning.point.test(rnorm(200))

[Package hacks version 0.1-8 Index]