Description Usage Arguments Details Value References Examples
This function performs the statistical test for the long-range correlation exponents obtained by the Detrended Fluctuation Analysis method.
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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). |
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
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".
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.
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