random.projection: Generate a random projection.

In nortsTest: Assessing Normality of Stationary Process

Generate a random projection.

Description

Generates a random projection of a univariate stationary stochastic process. Using a beta(shape1,shape2) distribution.

Usage

random.projection(y,shape1,shape2,seed = NULL)

Arguments

y	a numeric vector or an object of the ts class containing a stationary time series.
shape1	an optional real value with the first shape parameters of the beta distribution.
shape2	an optional real value with the second shape parameters of the beta distribution.
seed	An optional seed to use.

Details

Generates one random projection of a stochastic process using a beta distribution. For more details, see: Nieto-Reyes, A.,Cuesta-Albertos, J. & Gamboa, F. (2014).

Value

a real vector with the projected stochastic process.

Author(s)

Alicia Nieto-Reyes and Asael Alonzo Matamoros.

References

Nieto-Reyes, A., Cuesta-Albertos, J. & Gamboa, F. (2014). A random-projection based test of Gaussianity for stationary processes. Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 124-141.Result

Epps, T.W. (1987). Testing that a stationary time series is Gaussian. The Annals of Statistic. 15(4), 1683-1698.

Lobato, I., & Velasco, C. (2004). A simple test of normality in time series. Journal of econometric theory. 20(4), 671-689.

See Also

lobato.test epps.test

Examples

# Generating an stationary arma process
y = arima.sim(100,model = list(ar = 0.3))
rp.test(y)

nortsTest documentation built on May 29, 2024, 10:05 a.m.