F_test_cfarh: F Test for a CFAR Process with Heteroscedasticity and...

Description Usage Arguments Value References

View source: R/CFAR.r

Description

F test for a CFAR process with heteroscedasticity and irregular observation locations to specify the CFAR order.

Usage

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F_test_cfarh(
  f,
  weight,
  p.max = 3,
  grid = 1000,
  df_b = 10,
  num_obs = NULL,
  x_pos = NULL
)

Arguments

f

the functional time series.

weight

the covariance functions for noise process.

p.max

the maximum CFAR order. Default is 3.

grid

the number of gird points used to construct the functional time series and noise process. Default is 1000.

df_b

the degrees of freedom for natural cubic splines. Default is 10.

num_obs

the numbers of observations. It is a t-by-1 vector, where t is the length of time.

x_pos

the observation location matrix. If the locations are regular, it is a t-by-(n+1) matrix with all entries 1/n.

Value

The function outputs F test statistics and their p-values.

References

Liu, X., Xiao, H., and Chen, R. (2016) Convolutional autoregressive models for functional time series. Journal of Econometrics, 194, 263-282.


NTS documentation built on Aug. 6, 2020, 5:08 p.m.

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