Time Series Analysis Package
WHITENOISE Method
rc = TSA.WHITENOISE (y, nlag, <lags>, <df>, <wn>, <wnprob>, <wnlprob>);
The WHITENOISE function tests for white noise in a time series array.
Required Arguments
You must specify the following arguments, separated by a comma:
- y
specifies the times series array to compute.
- nlag
specifies the number of the lag to use in the calculation.
Returned Values
The WHITENOISE function returns the following values:
- rc
-
returns one of the following scalar return codes:
rc Termination Reason 0 Success < 0 Computational failure
Optional Returned Values
You can also specify the following arguments, separated by commas, to request additional returned values. If you do not want the value to be returned, enter a space for it.
- lags
returns the number of the lag that was used in the calculation.
- df
returns the number of observations that were used to test white noise.
- wn
returns an array of Ljung-Box white noise tests, with nlag + 1 entries.
- wnprob
returns white noise probabilities.
- wnlprob
returns white noise log probabilities.
Example
This example uses the TSMODEL procedure to perform the white noise test of lag 3 of the time series Air:
proc tsmodel data=mylib.air outarray=mylib.outarray;
id date interval=month;
var air;
outarrays lags df wn wnprob wnlprob;
require tsa;
submit;
declare object TSA(tsa);
rc=TSA.WHITENOISE(air, 3, lags, df, wn, wnprob, wnlprob);
endsubmit;
run;