Description Usage Arguments Value Author(s) References See Also Examples
This function calculates simplicial depth for explosive AR(1) processes as defined in Kustosz and Mueller (2014). The basic model is defined by
Y_n = θ_1 Y_ {n-1}+E_n
, with Y_n being an increasing process and E_n satisfying med(E_n) = 0.
1 |
theta |
Parameter θ for which simplicial depth has to be evaluated. |
y |
Observed proces y=(y_0,...,y_N) for which simplicial depth has to be evaluated. |
mod |
Switch to enable full tangential depth derivative (multiplication with y_{n-1}) in the test statistic, if |
The function returns the simplicial depth of the parameter theta for an observed process y.
Kustosz, Christoph
Kustosz, C. (2016). Depth based estimators and tests for
autoregressive processes with application. Ph. D. thesis. TU Dortmund.
Kustosz C. and Mueller Ch. H. (2014). Analysis of crack growth with robust distribution-
free estimators and tests for nonstationary autoregressive processes. Statistical
Papers 55, 125-140.
resARMod_lin2
, dS_lin2
,dS1_lin2
, dS2_lin2
, dS3_lin2
, oner
1 2 3 | y <- RandomARMod_lin2(100, 0, 1.01, 15, "0")
theta <- 1.01
dS_lin1(theta, y)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.