whiteNoiseTest {sarima} | R Documentation |
White noise tests
Description
White noise tests.
Usage
whiteNoiseTest(object, h0, ...)
Arguments
object |
an object, such as sample autocorrelations or partial autocorrelations. |
h0 |
the null hypothesis, currently "iid" or "garch". |
... |
additional arguments passed on to methods. |
Details
whiteNoiseTest
carries out tests for white noise. The null
hypothesis is identified by argument h0
, based on which
whiteNoiseTest
chooses a suitable function to call. The
functions implementing the tests are also available to be called
directly and their documentation should be consulted for further
arguments that are available.
If h0 = "iid"
, the test statistics and rejection regions can be
use to test if the underlying time series is iid. Argument
method
specifies the method for portmanteau tests: one of
"LiMcLeod" (default), "LjungBox", "BoxPierce".
If h0 = "garch"
, the null hypothesis is that the time series is
GARCH, see Francq & Zakoian (2010). The
tests in this case are based on a non-parametric estimate of the
asymptotic covariance matrix.
Portmonteau statistics and p-values are computed for the lags
specified by argument nlags
. If it is missing, suitable lags
are chosen automatically.
If argument interval
is TRUE, confidence intervals for the
individual autocorrelations or partial autocorrelations are computed.
Value
a list with component test
and, if ci=TRUE
, component
ci
.
Note
Further methods will be added in the future.
Author(s)
Georgi N. Boshnakov
References
Francq C, Zakoian J (2010). GARCH models: structure, statistical inference and financial applications. John Wiley & Sons. ISBN 978-0-470-68391-0.
Li WK (2004). Diagnostic checks in time series. Chapman & Hall/CRC Press.
See Also
acfGarchTest
(h0 = "garch"
),
acfIidTest
(h0 = "iid"
);
Examples
n <- 5000
x <- sarima:::rgarch1p1(n, alpha = 0.3, beta = 0.55, omega = 1, n.skip = 100)
x.acf <- autocorrelations(x)
x.pacf <- partialAutocorrelations(x)
x.iid <- whiteNoiseTest(x.acf, h0 = "iid", nlags = c(5,10,20), x = x, method = "LiMcLeod")
x.iid
x.iid2 <- whiteNoiseTest(x.acf, h0 = "iid", nlags = c(5,10,20), x = x, method = "LjungBox")
x.iid2
x.garch <- whiteNoiseTest(x.acf, h0 = "garch", nlags = c(5,10,20), x = x)
x.garch