LimitApprox: Approximation of the integrated limit based on a simulated...

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description

This function approximates the integrated limit based on the bivariate gaussian limit process discussed in Kustosz, Leucht and Mueller (2016).

Usage

LimitApprox(g, Y)

Arguments

g	Grid, on which the bivariate proces has been evaluated.
Y	A realisation of the bivariate Gaussian limit process.

Details

The theoretical background can be found in Kustosz, Leucht and Mueller (2016). Details on the usage in the calculation be found in Kustosz (2016).

Value

A approximation of the integrated process as defined in Leucht, Mueller and Kustosz (2014)

Author(s)

Kustosz, Christoph

References

Kustosz, C. (2016). Depth based estimators and tests for autoregressive processes with application. Ph. D. thesis. TU Dortmund.

Kustosz C., Leucht A. and Mueller Ch. H. (2016). Tests based on simplicial depth for AR(1) models with explosion. Journal of Time Series Analysis. In press.

Examples

g <- seq(-2, 2, 0.1)
sigma <- sigmaMat(g)

Y <- simulateGP(g, sigma)

R <- LimitApprox(g, Y)

ChrisKust/rexpar documentation built on May 6, 2019, 11:48 a.m.