The critical time point (CTP) is estimated and accompanied by a Wald confidence interval.
A numeric value between 0 and 1, exclusive.
The CTP is the unique time point at which the cable's
slope changes sign. If this exists, then it must happen
inside the transition τ\pmγ, and is estimated
by this function based on the bent-cable regression
ar.p.fit. Additionally, an approximate
confidence interval using the Wald method is obtained by
estimating the asymptotic variance of the CTP estimator.
Variance estimation involves inverting an approximate
Fisher information matrix by calling the built-in R
cable.change.conf returns an error if the CTP (almost)
does not exist, e.g. when the estimated bent cable slope
(almost) does not change signs, or when the fit from
ar.p.fit is obtained with a time vector that is not
c(0,1,2,...). See Warnings below.
The estimated CTP.
The estimated asymptotic variance of the CTP estimator.
Computations for the CTP estimate and confidence interval are based on a time
vector of the form
c(0,1,2,...). For any other form for the time
vector, the CTP will not be computed, and on-screen warnings
will appear. To ensure compatibility between the model fit and CTP
estimates, the user is advised to fit the model using the default
time vector. Then, if necessary, the user may transform the results
to the preferred time scale after the model and CTP estimates have
The above computational issue implies that the function cannot handle non-time-series data. Rationale: In a non-time-series context design points are often non-equidistant, and the cable's slope often never changes sign; even with a sign change, the point at which this takes place may be less interpretable. In such a context, the user is advised to rely on confidence regions for (τ,γ) (see References).
This function is intended for internal use by
bentcableAR package references.
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data(sockeye) # AR(2) cable fit fit.ar2 <- cable.ar.p.iter( c(13,.1,-.5,11,4,.5,-.5), sockeye$logReturns, tol=1e-4 ) cable.change.conf( fit.ar2, .9 ) # compare to this: # fit.ar2 <- bentcable.ar( sockeye$logReturns, # init.cable=c(13,.1,-.5,11,4), p=2, ci.level=.9 ) # cable.change.conf( fit.ar2$cable, .9 ) # AR(2) stick fit stick.ar2 <- cable.ar.p.iter( c(13,.1,-.5,11,.5,-.5), sockeye$logReturns, tol=1e-4, stick=TRUE) cable.change.conf( stick.ar2, .9) # compare to this: # stick.ar2 <- bentcable.ar( sockeye$logReturns, # init.cable=c(13,.1,-.5,11), p=2, stick=TRUE, ci.level=.9 ) # cable.change.conf( stick.ar2$cable, .9 ) # AR(4) stick fit fit.ar4 <- cable.ar.p.iter( c(13,.1,-.5,11,.5,-.5,.5,-.5), sockeye$logReturns, tol=1e-4, stick=TRUE ) cable.change.conf( fit.ar4, .9 ) # compare to this: # fit.ar4 <- bentcable.ar( sockeye$logReturns, # init.cable=c(13,.1,-.5,11), p=4, stick=TRUE, ci.level=.9 ) # cable.change.conf( fit.ar4$cable, .9 )
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