Surrogate: The surrogate data method
In autocorr: Testing Autocorrelation through bootstrap and surrogate methods

Description Usage Arguments Details Value Author(s) References See Also

This function Surrogate carries out the surrogate data method for testing autocorrelations.

1	Surrogate(acf.est, ahat, data, a1, a2, boot, lagmax)

`acf.est`	a vector of sample autocorrelation estimates up to lagmax.
`ahat`	a vector of estimated acceleration constants for autocorrelations up to lagmax. An Object returned by JN.NB
`data`	a vector of time series data.
`a1`	a scaler or a numeric vector of percentage(s) for the lower limit(s) of confidence intervals.
`a2`	a scaler or a numeric vector of percentage(s) for the upper limit(s) of confidence intervals.
`boot`	number of surrogate data sets
`lagmax`	maximum lag at which to calculate autocorrelations

In the presence of missing values, estimates of autocorrelations are computed from complete cases, which may not be valid.

a list containing two components: se standard error estimates for autocorrelations under the null. CI a list of estimated confidence intervals for autocorrelations under the null. Contain two components: per percentile intervals BCa bias-corrected and accelerated intervals.

Zijun Ke <keziyun@mail.sysu.edu.cn> and Zhiyong Zhang <zhiyongzhang@nd.edu>

Ke, Z. & Zhang, Z. (2015). Testing Autocorrelations: Asymptotic Methods versus Resampling Techniques

Theiler, J., Eubank, S., Longtin, A., Galdrikan, B., & Farmer, J. D. (1992). Testing for nonlinearity in time series: The method of surrogate data. Physica D, 58, 77-94.

JN.NB

autocorr documentation built on May 2, 2019, 6:12 p.m.