Confidence intervals for unknown mean

Description

Estimates confidence intervals for an unknown process mean of a time seeries well modeled by a stochastic fractal process.

Usage

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lmConfidence(x, model, conf.level=0.95,
    parm.known=FALSE, n.rep=100000)

Arguments

x

a vector containing a uniformly-sampled real-valued time series or an object of class wavTransform.

model

an object of class "lmModel". Use the lmModel function to create this input.

conf.level

confidence interval probability on the interval (0,1). Default: 0.95.

n.rep

number of repititions in a Monte Carlo study. Default: 100000.

parm.known

a logical value. Default: FALSE.

Value

an two-element vector defining the low and high limits of the estimated confidence interval.

References

D. Percival and A. Walden (2000), Wavelet Methods for Time Series Analysis, Cambridge University Press, Chapter 7.

See Also

lmSimulate.

Examples

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model <- lmModel("ppl",alpha=-0.9)
lmConfidence(lmSimulate(model), model)

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