hywn.test {hwwntest} | R Documentation |
Hybrid of Box-Ljung test, Bartlett B test, Haar wavelet and General wavelet tests.
Description
Omnibus test that attempts to mitigate poor performance of single test on a particular class where it does poorly by running four different tests that work well in different directions and pooling their results.
Usage
hywn.test(x, filter.number = 10, family = "DaubExPhase")
Arguments
x |
The data you wish to test (dyadic length) |
filter.number |
The number of vanishing moments of the wavelet used. |
family |
The family of the wavelets |
Value
A list with components:
p.value |
The overall p-value of the test |
method |
Text string containing the name of the method used |
Author(s)
Delyan Savchev and Guy Nason
References
Nason, G.P. and Savchev, D. (2014) White noise testing using wavelets. Stat, 3, 351-362. doi:10.1002/sta4.69
See Also
bartlettB.test
,
genwwn.test
,
hwwn.test
Examples
#
# Generate test data
#
x <- rnorm(64)
#
# Run the hybrid test
#
hywn.test(x)
#
# Hybrid Test
#
#data:
#p-value = 0.09221
[Package hwwntest version 1.3.2 Index]