hwwntest (version 1.3.2)

cumperiod: Compute cumulative normalized periodogram.

Description

Computes cumulative normalized periodogram.

Usage

cumperiod(x)

Value

A list containing the following two components:

wp

The Fourier frequencies where the cumulative normalized periodogram is evaluated at

cumperiod

The cumulative normalized periodogram.

Arguments

x

The time series you wish to compute the cumulative normalized periodogram.

Author

G. P. Nason

Details

Does as the title suggests

References

Bartlett, M.S. (1967) Some Remarks on the Analysis of Time-Series. J. R. Statist. Soc. B, 54, 25-38.

Link to Professor H. Joseph Newton's web page on Bartlett's test

Nason, G.P. and Savchev, D. (2014) White noise testing using wavelets. Stat, 3, 351-362. tools:::Rd_expr_doi("10.1002/sta4.69")

See Also

bartlettB.test, compute.rejection

Examples

#
# Use example time series
#
x <- rnorm(100)

x.cp <- cumperiod(x)
#
# Can plot it, if you like
#
plot(x.cp$wp, x.cp$cumperiod, type="l", xlab="Frequency",
	ylab="Cumulative Normalized Periodogram")
#
# You can try replacing the x by, say, an AR(1) using arima.sim and
# you'll get a very different shaped line, depending on the AR(1)
# parameter.