View source: R/Tools_SpecTest.R
SpecTest  R Documentation 
SpecTest()
implements a new global test proposed in
Chang, Jiang, McElroy and Shao (2023) for the following hypothesis testing problem:
H_0:f_{i,j}(\omega)=0 \mathrm{\ for\ any\ }(i,j)\in\mathcal{I}\mathrm{\ and\ }
\omega \in \mathcal{J}\mathrm{\ \ versus\ \ H_1:H_0\ is\ not\ true.}
SpecTest(X, J.set, cross.indices, B = 1000, flag_c = 0.8)
X 

J.set 
Set 
cross.indices 
Set 
B 
Bootstrap times for generating multivariate normal distributed
random vectors in calculating the critical value. Default is 
flag_c 
Bandwidth 
An object of class "hdtstest" is a list containing the following components:
Stat 
Numerical value which represents the value of test statistic. 
pval 
Numerical value which represents the pvalue of the test. 
cri95 
Numerical value which represents the critical value of the test at the significance level 0.05. 
method 
A character string indicating what method was performed. 
Chang, J., Jiang, Q., McElroy, T. & Shao, X. (2023). Statistical inference for highdimensional spectral density matrix.
n < 200
p < 10
flag_c < 0.8
B < 1000
burn < 1000
z.sim < matrix(rnorm((n+burn)*p),p,n+burn)
phi.mat < 0.4*diag(p)
x.sim < phi.mat %*% z.sim[,(burn+1):(burn+n)]
x < x.sim  rowMeans(x.sim)
cross.indices < matrix(c(1,2), ncol=2)
J.set < 2*pi*seq(0,3)/4  pi
res < SpecTest(t(x), J.set, cross.indices, B, flag_c)
Stat < res$Stat
Pvalue < res$p.value
CriVal < res$cri95
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