Description Usage Arguments Details Value Note Author(s) References See Also Examples
The function evaluates the asymptotic test based on dS proposed in Kustosz, Leucht and Mueller (2016). It returns the test statistic and the decision. The default model is given by
Y_n = θ_0 + θ_1 Y_{n-1}^{cpow} + E_n
with med(E_n)=0.
1 | dS_lin2_test(thetaN, alpha, y, ncores = 1, cpow = 1, dS)
|
thetaN |
Parameter defining the Null hypothesis H0: θ = θ^0. Thereby θ is defined by the model. |
alpha |
Value in (0,1) defining the level of the test. |
y |
Observed series y=(y_0,...,y_N) for which the parameter test has to be executed. |
ncores |
Defines the number of cores to use for parallel computation of the simplicial depth statistic. If no value is definied the standard value of 1 is passed and no parallel methods are applied. |
cpow |
Fixed and known power parameter for the Y_n = θ_2\cdot Y_{n-1}^{cpow} + θ_0 model. |
dS |
Here an evaluated depth statistic dS can be defined, instead of evaluation of data y, to calculate the test statistic for dS directly. |
The theoretical details can be found in Kustosz, Leucht and Mueller (2016). The computational details are in Kustosz (2016).
TS |
Returns the value of the rescaled and centred test statistic. |
phi |
Retuns the test decision, |
Note, that the evaluation depends on the simulated results of the limit process, which are included in the rexpar package.
Christoph Kustosz and Sebastian Szugat
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.
1 2 3 | y <- RandomARMod_lin2(100, 0.2, 1.01, 15, "0")
dS_lin2_test(thetaN = c(0.2, 1.01), alpha = 0.05, y = y)
dS_lin2_test(thetaN = c(0.1, 1.11), alpha = 0.05, y = y)
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