NNS Seasonality Test — NNS.seas • NNS

Seasonality test based on the coefficient of variation for the variable and lagged component series. A result of 1 signifies no seasonality present.

Usage

NNS.seas(variable, modulo = NULL, mod.only = TRUE, plot = TRUE)

Arguments

variable: a numeric vector.
modulo: integer(s); NULL (default) Used to find the nearest multiple(s) in the reported seasonal period.
mod.only: logical; TRUE (default) Limits the number of seasonal periods returned to the specified modulo.
plot: logical; TRUE (default) Returns the plot of all periods exhibiting seasonality and the variable level reference.

Value

Returns a matrix of all periods exhibiting less coefficient of variation than the variable with "all.periods"; and the single period exhibiting the least coefficient of variation versus the variable with "best.period"; as well as a vector of "periods" for easy call into NNS.ARMA.optim. If no seasonality is detected, NNS.seas will return ("No Seasonality Detected").

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" (ISBN: 1490523995)

Author

Fred Viole, OVVO Financial Systems

Examples

if (FALSE) { # \dontrun{
set.seed(123)
x <- rnorm(100)

## To call strongest period based on coefficient of variation:
NNS.seas(x, plot = FALSE)$best.period

## Using modulos for logical seasonal inference:
NNS.seas(x, modulo = c(2,3,5,7), plot = FALSE)
} # }