vavra.sample: vavra test's sieve Bootstrap sample for Anderson Darling...

In nortsTest: Assessing Normality of Stationary Process

Description

Generates a sieve bootstrap sample of the Anderson-Darling statistic test.

Usage

vavra.sample(y,reps = 1000,h = 100,seed = NULL)

Arguments

y	a numeric vector or an object of the ts class containing a stationary time series.
reps	an integer with the total bootstrap repetitions.
h	an integer with the first burn-in sieve bootstrap replicates.
seed	An optional seed to use.

Details

The Vavra test approximates the empirical distribution function of the Anderson-Darlings statistic, using a sieve bootstrap approximation. The test was proposed by Psaradakis, Z. & Vavra, M (20.17).

This function is the equivalent of xarsieve of Psaradakis, Z. & Vavra, M (20.17).

Value

A numeric array with the Anderson Darling sieve bootstrap sample

Author(s)

Asael Alonzo Matamoros.

References

Psaradakis, Z. & Vavra, M. (2017). A distance test of normality for a wide class of stationary process. Journal of Econometrics and Statistics. 2, 50-60.

Bulmann, P. (1997). Sieve Bootstrap for time series. Bernoulli. 3(2), 123 -148.

See Also

epps.statistic lobato.statistic

Examples

# Generating an stationary arma process
y = arima.sim(100,model = list(ar = 0.3))
adbs = vavra.sample(y)
mean(adbs)

nortsTest documentation built on Aug. 16, 2021, 5:06 p.m.