Nothing
# Method AMUSEasymp
AMUSEasymp <- function(X, ...) UseMethod("AMUSEasymp")
AMUSEasymp.default <- function (X, k, tau = 1, ...) {
if (!is.numeric(X)) stop("non-numeric data")
if (any(is.na(X) | is.infinite(X))) stop("missing/infinite values are not allowed")
DNAME <- deparse(substitute(X))
k <- abs(as.integer(k))
tau <- abs(as.integer(tau))
n <- nrow(X)
p <- ncol(X)
prep <- BSSprep(X)
Y <- prep$Y
Yt <- Y[1:(n - tau), ]
Yti <- Y[(1 + tau):n, ]
R <- crossprod(Yt, Yti)/nrow(Yt)
R <- (R + t(R))/2
EVD <- .Call("EIGEN", R, PACKAGE = "tsBSS")
EVDvalues <- as.vector(EVD$values)
W <- crossprod(EVD$vectors, prep$COV.sqrt.i)
ORDER <- order(EVDvalues^2, decreasing = TRUE)
D <- EVDvalues[ORDER]
W <- W[ORDER, ]
Z <- tcrossprod(prep$X.C, W)
D2 <- D^2
Tk <- n * sum((D2[(k + 1):p]))
Z <- ts(Z)
colnames(Z) <- paste0("Series", 1:p)
names(Tk) <- "T"
PARAMETER <- 0.5 * (p - k) * ((p - k) + 1)
names(PARAMETER) <- c("df")
PVAL <- 1 - pchisq(Tk, PARAMETER)
METHOD <- c("SOBI test for white noise processes")
ALTERNATIVE <- paste0("there are fewer than ", p - k,
" white noise components")
RES <- list(statistic = Tk, p.value = PVAL, parameter = PARAMETER,
method = METHOD, data.name = DNAME, alternative = ALTERNATIVE,
k = k, W = W, S = Z, D = D, MU = prep$MEAN, tau = tau)
class(RES) <- c("ictest", "htest")
RES
}
AMUSEasymp.ts <- function(X, ...) {
x <- as.matrix(X)
RES <- AMUSEasymp.default(x, ...)
S <- RES$S
attr(S, "tsp") <- attr(X, "tsp")
RES$S <- S
RES
}
AMUSEasymp.xts <- function(X, ...) {
x <- as.matrix(X)
RES <- AMUSEasymp.default(x, ...)
S <- xts::as.xts(RES$S)
attr(S, "index") <- attr(X, "index")
xts::xtsAttributes(S) <- xts::xtsAttributes(X) #attributes additional to zoo
RES$S <- S
RES
}
AMUSEasymp.zoo <- function(X, ...) {
x <- as.matrix(X)
RES <- AMUSEasymp.default(x, ...)
S <- zoo::as.zoo(RES$S)
attr(S, "index") <- attr(X, "index")
RES$S <- S
RES
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.