SAP HANA Predictive Analysis Library (PAL)

PAL_TSTREND_TREND_TBL:
PAL_TSTREND_DETRENDED_TBL:
3.5.13 White Noise Test
This algorithm 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.
PAL uses Ljung-Box test to test for autocorrelation at different lags. The Ljung-Box test can be defined as
follows:
H 0 : White noise exists in the time series (ρ 1 =ρ 2 =ρ 3 =...=ρ m =0).
H 1 : White noise does not exists in the time series.
The Ljung-Box test statistic is given by the following formula:
Where n is the sample size, is the sample autocorrelation at lag h, and m is the number of lags being tested.
The statistic of Q follows a chi-square distribution. Based on the significance level α, the critical region for
rejection of the hypothesis of randomness is
Where
is the chi-squared distribution with m degrees of freedom and α quantile.
SAP HANA Predictive Analysis Library (PAL)
PAL Functions P U B L I C 427