ApxCI | R Documentation |
Evaluate the approximate confidence interval of a multivariate evolutionary wavelet spectrum.
ApxCI(object, var = NULL, alpha = 0.05, ...)
object |
A |
var |
A |
alpha |
Type I error, a single numerical value within (0,0.5]. |
... |
Additional arguments to be passed to the
|
The command evaluates the approximate Gaussian confidence intervals for the elements of the mvEWS estimate.
Invisibly returns a list containing two mvLSW
classed
objects with names "L" and "U" that respectively identify the
lower and upper interval estimates.
Taylor, S.A.C., Park, T.A. and Eckley, I. (2019) Multivariate locally stationary wavelet analysis with the mvLSW R package. Journal of statistical software 90(11) pp. 1–16, doi: 10.18637/jss.v090.i11.
Park, T. (2014) Wavelet Methods for Multivariate Nonstationary Time Series, PhD thesis, Lancaster University, pp. 91-111.
mvEWS
, as.mvLSW
, varEWS
.
## Define evolutionary wavelet spectrum, structure only on level 2 Spec <- array(0, dim = c(3, 3, 8, 256)) Spec[1, 1, 2, ] <- 10 Spec[2, 2, 2, ] <- c(rep(5, 64), rep(0.6, 64), rep(5, 128)) Spec[3, 3, 2, ] <- c(rep(2, 128), rep(8, 128)) Spec[2, 1, 2, ] <- Spec[1, 2, 2, ] <- punif(1:256, 65, 192) Spec[3, 1, 2, ] <- Spec[1, 3, 2, ] <- c(rep(-1, 128), rep(5, 128)) Spec[3, 2, 2, ] <- Spec[2, 3, 2, ] <- -0.5 EWS <- as.mvLSW(x = Spec, filter.number = 1, family = "DaubExPhase", min.eig.val = NA) ## Sample time series and estimate the EWS. set.seed(10) X <- rmvLSW(Spectrum = EWS) EWS_X <- mvEWS(X, kernel.name = "daniell", kernel.param = 20) ## Evaluate asymptotic spectral variance SpecVar <- varEWS(EWS_X) ## Plot Estimate & 95% confidence interval CI <- ApxCI(object = EWS_X, var = SpecVar, alpha = 0.05) plot(x = EWS_X, style = 2, info = 2, Interval = CI)
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