dfa.test: Statistical test for Detrended Fluctuation Analysis.

In GMZTests: Statistical Tests

Description

This function performs the statistical test for the long-range correlation exponents obtained by the Detrended Fluctuation Analysis method.

Usage

dfa.test(y, npoints, rep, ts.sim, prob)

Arguments

y	A vector contaning univariate time series.
npoints	The number of different window sizes that will be used to estimate the Fluctuation function in each zone. See nonlinearTseries package.
rep	An integer value indicating the number of repetitions.
ts.sim	An logical value. If TRUE, the confidence interval for alpha_dfa is obtained from a White Gaussian Noise. If FALSE, the confidence interval for alpha_dfa is obtained from the shuffling of the original series.
prob	An numeric value indicating the quantile of probability to be used in estimating confidence intervals by N(0,1).

Details

This function include following measures alpha_dfa, se_alpha_dfa, r2_alpha_dfa, min_test, max_test, mean_test, median_test, sd_test, skewness_test, kurtosis_test, Jarquebera_test_pvalue, CL_lower_test, CL_upper_test

Value

An rbind matrix containing "alpha_dfa","se_alpha_dfa", "r2_alpha_dfa","min_alpha_dfa","max_test","mean_test", "median_test", "sd_test", "skewness_test", "kurtosis_test", "jarquebera_test_pvalue", and confidence interval: "CI_lower_test", "CI_upper_test".

References

KRISTOUFEK, L. Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals. AUCO Czech Economic Review, v.4,n.3, p.315-329, 2010.

Examples

y=rnorm(1000)
dfa.test(y, npoints=15, rep=10,ts.sim="TRUE", prob=.95)

GMZTests documentation built on March 18, 2021, 5:08 p.m.