simLimit: Simulation of the final limit process from simplicial depth...

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description

The dataset contains results form 200.000 simulations of the limit process for a rescaled and centered version of the full simplicial depth statistic dS derived in Leucht, Mueller and Kustosz (2014). This data is necessary to conduct the full simplicial depth test for explosive AR processes included in this package. In addition to the gaussian process simulation, here the integration of the two processes is calculated to compute the final limit process.

Usage

data(simLimit)

Format

A data frame with 200000 observations on the following 1 variables.

Sim

a numeric vector of simulated values of the limit process.

Details

Details on the derivation of this limit process are presented in Kustosz, Leucht and Mueller (2016). More information on the implementation can be found in Kustosz (2016).

Source

Data generated as in Kustosz, Leucht and Mueller (2016).

References

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.

See Also

simulateGP

Examples

data(simLimit)
hist(simLimit[, 1])

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