Tri_Eps: Calculation of candidates, restricted for faster estimation...
In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description Usage Arguments Details Value Author(s) References See Also Examples

This function calculates candidates for estimates by simplicial depth based on intersections from residual straights and epsilon variation. Thereby for large samples the candidates can be restricted by quantiles to reduce computational costs.

1	Tri_Eps(y, perc, eps)

`y`	A series form from a linear AR(1) process with intercept for which the candidates have to be calculated.
`perc`	A value between 0 and 1 defining what range of candidates around of their median has to be considered for the optimisation. A value close to 0 gives a low precision, while a value of 1 evaluates all candidates.
`eps`	Value for epsilon to vary the corner of a considered data generated simplex.

The main idea for the candidate construction is presented in Kustosz (2016).

The returned value is a matrix of candidate parameters whereby the first column is theta_1 and the second θ_0.

Kustosz, Christoph

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

est_nlin1, dS_lin2_test

set.seed(17)
y <- RandomARMod_lin2(nobs = 20, intercept = 0.2, arp = 1.001, start = 15, cont = "0")
tt <- Tri_Eps(y = y, perc = 0.5, eps = 1e-3)
plot(tt[1,], tt[2,])