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Owning Palette: Statistical Analysis VIs

Installed With: Advanced Signal Processing Toolkit

Estimates the randomness of an input univariate time series and plots the correlogram. Wire data to the Xt input to determine the polymorphic instance to use or manually select the instance.

Details  Example

Use the pull-down menu to select an instance of this VI.

Select an instance TSA Whiteness Test (waveform)TSA Whiteness Test (array)

TSA Whiteness Test (waveform)

	Xt specifies the input univariate time series.
	confidence level specifies the level of confidence as a percentage this VI uses to estimate the randomness of the time series.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	white noise returns TRUE if the input univariate time series is random.
	correlogram returns the correlogram data including the autocorrelation of the input time series and the corresponding confidence range.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Whiteness Test (array)

	Xt specifies the input univariate time series.
	confidence level specifies the level of confidence as a percentage this VI uses to estimate the randomness of the time series.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	white noise returns TRUE if the input univariate time series is random.
	correlogram returns the correlogram data including the autocorrelation of the input time series and the corresponding confidence range.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Whiteness Test Details

This VI estimates the randomness of a univariate time series by testing the c distribution, which is implemented by calculating the statistical value e for a time series X_t with a mean of zero, as defined by the following equation:

where R_x(k) is the auto-correlation value of X_t, and N is the number of the input time series.

Given the confidence level a, if e<c²_a/2(N–1), this statistical value passes the test of c²(N–1). You can consider this univariate time series as being a random sequence.

Reference:

Ljung, L. 1999. System Identification Theory for the User. 2d ed. Prentice Hall.

Example

Refer to the Series Statistical Analysis VI in the labview\examples\Time Series Analysis\TSAGettingStarted.llb for an example of using the TSA Whiteness Test VI.