GetFitHReg: Compute loglikelihood ratio test statistic
In ptest: Periodicity Tests in Short Time Series

Description Usage Arguments Details Value Author(s) References

The -2 loglikelihood ratio test statistic, -2LLR, is computed for testing for periodicity.

1	GetFitHReg(y, t = 1:length(y))

`t`	Vector of corresponding time points.
`z`	Vector containing the series.

To compute the likelihood ratio statistic, a harmonic regression model is fitted by the maximum likelihood estimations (MLE) according to the selected model. In particular, the frequency f is found by the grid search among En = {j/101 | j=1,…,50 and j/101 ≥ 1/n}. The MLE is equivalent to the least square estimation.

Vector of length 2 containing -2 loglikelihood ratio test statistic and the estimated frequency.

A.I. McLeod

Islam, M.S. (2008). Peridocity, Change Detection and Prediction in Microarrays. Ph.D. Thesis, The University of Western Ontario.

ptest documentation built on May 2, 2019, 5:58 a.m.