NNS (version 11.3)

NNS.seas: NNS Seasonality Test

Description

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)

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").

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.

Author

Fred Viole, OVVO Financial Systems

References

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

Examples

if (FALSE) {
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)
}