R: White Noise Test

hanaml.WhiteNoiseTest {hana.ml.r}

R Documentation

White Noise Test

Description

hanaml.WhiteNoiseTest is a R wrapper for PAL white noise test.

Usage

hanaml.WhiteNoiseTest(conn.context,
                      data,
                      key = NULL,
                      endog = NULL,
                      lag = NULL,
                      probability = NULL,
                      thread.ratio = NULL)

Arguments

`conn.context`	`ConnectionContext` The connection to the SAP HANA system.
`data`	`DataFrame` DataFrame containing the data.
`key`	`character, optional` The ID column. Defaults to the first column.
`endog`	`character, optional` The endogenous variable of the given time series in data. Defaults to the first non-ID column.
`lag`	`integer, optional` Specifies the lag autocorrelation coefficient that the statistic will be based on. It corresponds to the degree of freedom of chi-square distribution. Defaults to half of the sample size (n/2).
`probability`	`double, optional` The confidence level used for chi-square distribution. The value is 1 - a, where a is the significance level. Defaults to 0.9.
`thread.ratio`	`double, optional` The ratio of available threads. - 0: single thread. - 0 ~ 1: percentage. - Others: heuristically determined. Defaults to -1.

Details

hanaml.WhiteNoiseTest is used to identify whether a time series is a white noise series. If white noise exists in the raw time series, the algorithm returns the value of 1. If not, the value of 0 will be returned.

Value

Returns a DataFrame:

DataFrame
Result of the forecast accuracy measurement, structured as follows:
- STAT_NAME: name of the accuracy measures.
- STAT_VALUE: values of the accuracy measures.
  - WN: 1 for white noise, 0 for not white noise.
  - Q: Q statistics defined as above.
  - chi^2: chi-square distribution.

Examples

## Not run: 
Input data:
> data$Collect()
  TIMESTAMP    Y
1         0 1474
2         1 1356
3         2  826
4         3 1586
5         4 1010
6         5 1337
7         6 1415
8         7 1514

invoke the function:
> wn <- hanaml.WhiteNoiseTest(conn,
                              data,
                              key = "TIMESTAMP",
                              endog = "Y",
                              lag = 3,
                              probability = 0.9,
                              thread.ratio = 0.2)
Output:
> wn$Collect()
  STAT_NAME STAT_VALUE
1        WN   1.000000
2         Q   2.469041
3     chi^2   6.251389
 
## End(Not run)

[Package hana.ml.r version 1.0.8 Index]