auto.test: The Test of Stability for Auto-Regressive (AR) Approximations...

In Sie2nts: Sieve Methods for Non-Stationary Time Series

The Test of Stability for Auto-Regressive (AR) Approximations Automatically

Description

auto.test() generates a test of Stability for AR Approximations by choosing tuning parameter automatically.

Usage

auto.test(
  ts,
  or = 4,
  type,
  alpha = 0.05,
  method = "LOOCV",
  threshold = 0,
  B.s = 1000
)

Arguments

ts	ts is the data set which is a time series data typically
or	indicates the order of spline and only used in Cspli type, default is 4 which indicates cubic spline
type	type indicates which type of basis is used. There are 31 types in this package
alpha	level of the test
method	method indicates which method used to choose optimal parameters, 3 methods in this package can be used
threshold	threshold determines the bound for Elbow method
B.s	the number of statistics used in multiplier bootstrap, the default value is 1000

Value

p value of the test

Sie2nts documentation built on Jan. 22, 2023, 1:52 a.m.