EstDepSerialMoebius: Dependence measures and statistics for test of randomness for...

In MixedIndTests: Tests of Randomness and Tests of Independence

Dependence measures and statistics for test of randomness for a univariate time series

Description

This function computes copula-based dependence measures for Moebius versions of Spearmans's rho, van der Waerden's coefficient, and Savage's coefficient, as well as their combination for tests of randomness for p consecutive values Y(1), ..., Y(p).

Usage

EstDepSerialMoebius(y, p, trunc.level = 2, graph = FALSE)

Arguments

y	Time series
p	Number of consecutive observations
trunc.level	Only subsets of cardinality <= trunc.level (default=2) are considered for the Moebius statistics.
graph	Set to TRUE if one wants the dependogram of P-values for the Moebius statistics

Value

stat	List of statistics (spearman, vdw, savage) and test combinations Ln and Ln2 (only pairs)
pvalue	P-values for the tests
card	Cardinaly of the subsets for the Moebius statistics
subsets	Subsets for the Moebius statistics

References

B.R Nasri & B.N. Remillard (2023). Tests of independence and randomness for arbitrary data using copula-based covariances

Examples

y<- SimAR1Poisson(c(5,0.2),100)
out <- EstDepSerialMoebius(y,4,4)

MixedIndTests documentation built on May 29, 2024, 12:19 p.m.