stoch.reg: Frequency Domain Stochastic Regression

In astsa: Applied Statistical Time Series Analysis

Frequency Domain Stochastic Regression

Description

Performs frequency domain stochastic regression discussed in Chapter 7.

Usage

stoch.reg(data, cols.full, cols.red, alpha, L, M, plot.which)

Arguments

data	data matrix
cols.full	specify columns of data matrix that are in the full model
cols.red	specify columns of data matrix that are in the reduced model (use NULL if there are no inputs in the reduced model)
alpha	test size
L	smoothing - see spans in spec.pgram
M	number of points in the discretization of the integral
plot.which	coh or F.stat, to plot either the squared-coherencies or the F-statistics, respectively

Value

power.full	spectrum under the full model
power.red	spectrum under the reduced model
Betahat	regression parameter estimates
eF	pointwise (by frequency) F-tests
coh	coherency

Note

See Chapter 7 of the text for examples. The script is based on code that was contributed by Professor Doug Wiens, Department of Mathematical and Statistical Sciences, University of Alberta.

Author(s)

D.S. Stoffer

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.

astsa documentation built on Jan. 10, 2023, 1:11 a.m.