FST_teststat_MN: Test Statistic M_N in Functional Stationarity Test

In STFTS: Statistical Tests for Functional Time Series

Description

Calculate test statistic M_N for functional stationarity test, which was constructed in Horvath et al. (2014).

Usage

FST_teststat_MN(X)

Arguments

X	The functional time series being tested, inputted in a matrix form with each row representing each observation of the functional data values on equidistant points of any prespecified interval.

Value

The value of test statistic M_N calculated for functional stationarity test.

References

Horvath, L., Kokoszka, P., & Rice, G. (2014). Testing stationarity of functional time series. Journal of Econometrics, 179(1), 66-82.

Examples

N<-100
EX<-matrix(rep(0,N*100),ncol=100)
set.seed(1)
for (i in 1:N) {
temp<-rnorm(100,0,1)
EX[i,1]<-temp[1]
for (j in 2:100) {
EX[i,j]<-EX[i,j-1]+temp[j]
}
}
FST_teststat_MN(EX)

STFTS documentation built on Aug. 19, 2021, 9:06 a.m.