seastests (version 0.14.2)

welch: Welch seasonality test

Description

Test for seasonality in a time series using Welch's ANOVA test.

Usage

welch(x, freq = NA, diff = T, residuals = F, autoarima = T, rank = F)

Arguments

x

time series

freq

Frequency of the time series

diff

Shall the differenced series be tested?

residuals

Shall the residuals of an ARIMA model be tested?

autoarima

Use automatic instead of a (0,1,1) ARIMA model?

rank

Use rank of series instead of actual values?

Details

If residuals=FALSE the autoarima parameter is ignored.

If rank=TRUE, the test becomes basically a combination of the Kruskall-Wallis and the Welch test.

If residuals=TRUE, a non-seasonal ARIMA model is estimated for the time series. And the residuals of the fitted model are used as input to the test statistic. If an automatic order selection is used, the Hyndman-Khandakar algorithm is employed with max(p)=max(q) <= 3.

References

Kruskal, W. H. and W. A.Wallis (1952). Use of Ranks in One-Criterion Variance Analysis. Journal of the American Statistical Association 47 (260), 583-621.

Welch, B. L. (1951). On the Comparison of Several Mean Values: An Alternative Approach. Biometrika 38 (3/4), 330-336.

Examples

# NOT RUN {
welch(ts(rnorm(120, 10,10), frequency=12))
welch(ts(rnorm(1200, 10,10), frequency=7))
# }