dS_lin1: Simplicial depth for explosive AR(1) processes without...

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description

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.

Usage

dS_lin1(theta, y, mod = FALSE)

Arguments

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 mod=TRUE.

Value

The function returns the simplicial depth of the parameter theta for an observed process y.

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. 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.

See Also

resARMod_lin2, dS_lin2,dS1_lin2, dS2_lin2, dS3_lin2, oner

Examples

y <- RandomARMod_lin2(100, 0, 1.01, 15, "0")
theta <- 1.01
dS_lin1(theta, y)

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