F_test_cfar: F Test for a CFAR Process

In ConvFuncTimeSeries/test3:

Description

F test for a CFAR process to specify CFAR order.

Usage

F_test_cfar(f, p.max = 6, df_b = 10, grid = 1000)

Arguments

f	the functional time series.
p.max	maximum CFAR order. Default is 6.
df_b	the degrees of freedom for natural cubic splines. Default is 10.
grid	the number of gird points used to constrct the functional time series and noise process. Default is 1000.

Value

The function outputs F test statistics and their p-values.

References

Liu, X., Xiao, H., and Chen, R. (2016) Convolutional autoregressive models for functional time series. Journal of Econometrics, 194, 263-282.

Examples

phi_func= function(x)   
{
 	return(dnorm(x,mean=0,sd=0.1))
}
y=g_cfar1(1000,5,phi_func)
library(MASS)	
library(splines)
f_grid=y$cfar
index=seq(1,1001,by=10)
f=f_grid[,index]
F_test_cfar(f)

ConvFuncTimeSeries/test3 documentation built on May 29, 2019, 11:41 a.m.