Description Usage Arguments Details Value Note Author(s) References See Also Examples
This function calculates a simplified version of simplicial depth for explosive AR(1) processes, when non overlapping residuals in sequences of 3 are evaluated. Thereby the parameter θ and the process y are fixed. The assumed model is given by
Y_n = Y_{n-1}+theta_1 *Y_{n-1}^theta_2 + theta_0 +E_n,
whreby E_n i.i.d. errors with med(E_n) = 0.
1 | dS1_nlin2(theta, y)
|
theta |
θ = (θ_1,θ_2,θ_0), parameter vector to evaluate dS1 in. |
y |
y = (y_0,...,y_N), oberserved process to evaluate dS1 in. |
The theoretical details can be found in Kustosz, Mueller and Wendler (2016). The computational details are in Kustosz (2016).
The result is a real number which gives the depth of theta based on the obervation y
This expression is a simplification of dS, which is the full simplicial depth for explosive AR(1) processes
Kustosz, Christoph
Kustosz, C. (2016). Depth based estimators and tests for
autoregressive processes with application. Ph. D. thesis. TU Dortmund.
Kustosz C., Mueller Ch. H. and Wendler M. (2016). Simplified Simplicial Depth for Regression and
Autoregressive Growth Processes. Journal of Statistical Planning and Inference. In press.
resARMod_lin2
, dS_lin2
,dS1_lin2
, dS2_lin2
, dS3_lin2
1 2 3 4 5 |
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