tseries (version 0.8-2)

runs.test: Runs Test

Description

Computes the runs test statistic for the null of independence for the series x.

Usage

runs.test(x)

Arguments

x
a numeric vector or time series.

Value

  • A list with class "htest" containing the following components:
  • statisticthe value of the test statistic.
  • p.valuethe p-value of the test.
  • methoda character string indicating what type of test was performed.
  • data.namea character string giving the name of the data.

Details

This test searches for independence in the observed series by examining the frequency of runs. Before computing the statistic, zero values of x are eliminated. Missing values are not allowed.

References

J. B. Cromwell, W. C. Labys and M. Terraza (1994): Univariate Tests for Time Series Models, Sage, Thousand Oaks, CA, 28--30.

Examples

Run this code
x <- rnorm(100)  # no runs
runs.test(x)

x <- 1:100  # one big run
runs.test(x)

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