autocorr: Testing Autocorrelation through bootstrap and surrogate methods

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Different methods for testing autocorrelation are implemented. Two asymptotic methods including the 1/T approximation method and the Bartlett's formula method are implemented. Two resampling techniques including the moving block bootstrap and the surrogate data method are also provided.

Author
Zijun Ke & Zhiyong Zhang
Date of publication
2015-10-18 18:57:38
Maintainer
Zijun Ke <keziyun@mail.sysu.edu.cn>
License
GPL
Version
0.1

View on R-Forge

Man pages

autocorr-package
Asymptotic methods and resampling techniques for testing...
autocorr.test
The main function for the six tests of autocorrelations
BartlettSE
Standard error estimates based on Bartlett's formula
Bartlett_Shumway
Standard error estimates based on Bartlett's formula
BCa.CI
Bias-corrected and accelerated confidence intervals.
corr.VMB
Estimating autocorrelations for vectorized moving block...
JN.NB
The acceleration constant for the surrogate data method.
JN.VMB
The acceleration for the vectorized moving block bootstrap.
pair.VMB
Forming pairs of observations for the vectorized moving block...
Perc.CI
Percentile intervals.
Surrogate
The surrogate data method
Test.CI
Performing hypothesis testing using confidence intervals.
VMB
The vectorized moving block bootstrap

Files in this package

autocorr/DESCRIPTION
autocorr/NAMESPACE
autocorr/R
autocorr/R/AutoCorr.R
autocorr/man
autocorr/man/BCa.CI.Rd
autocorr/man/BartlettSE.Rd
autocorr/man/Bartlett_Shumway.Rd
autocorr/man/JN.NB.Rd
autocorr/man/JN.VMB.Rd
autocorr/man/Perc.CI.Rd
autocorr/man/Surrogate.Rd
autocorr/man/Test.CI.Rd
autocorr/man/VMB.Rd
autocorr/man/autocorr-package.Rd
autocorr/man/autocorr.test.Rd
autocorr/man/corr.VMB.Rd
autocorr/man/pair.VMB.Rd