White Noise Test

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

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

Arguments

data

DataFrame
DataFrame containting the data.
key

character, optional
Name of the ID column.
Defaults to the first column if not provided.
endog

character, optional
The endogenous variable, i.e. time series.
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
Controls the proportion of available threads that can be used by this function.
The value range is from 0 to 1, where 0 indicates a single thread, and 1 indicates all available threads. Values between 0 and 1 will use up to that percentage of available threads.
Values outside the range from 0 to 1 are ignored, and the actual number of threads used is then be heuristically determined.
Defaults to -1.

Value

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.

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.

Examples

Input DataFrame 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(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