est.glambda.wge: Estimate the value of lambda and offset to produce a...

In tswge: Time Series for Data Science

Estimate the value of lambda and offset to produce a stationary dual.

Description

This function uses the technique discussed in Section 13.3.3 of Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott to find the g(lambda) time transformation that most nearly transforms the data to a stationary dual.

Usage

est.glambda.wge(data, lambda.range = c(0, 1), offset.range = c(0, 100))

Arguments

data	Vector containing the TVF realization to be analyzed
lambda.range	Range of lambda values considered in the search
offset.range	Range of offset values considered in the search

Value

Q	A listing of lambda values within the range and offsets for each lambda that provided the best dual. Also a listing of the test statistic, Q, to be minimized
best.lambda	See description of best.offset below
best.offset	best.lambda and best.offset are the lambda-offset pair that produced the most stationary dual according to the Q criterion

Author(s)

Wayne Woodward

References

Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott and Jiang, Gray, and Woodward(2006)

Examples

data(ss08)
                   est.glambda.wge(ss08,lambda.range=c(-1,1),offset.range=c(0,100))

tswge documentation built on Feb. 16, 2023, 6:51 p.m.