lmConfidence: Confidence intervals for unknown mean

In fractal: Fractal Time Series Modeling and Analysis

Description

Estimates confidence intervals for an unknown process mean of a time seeries well modeled by a stochastic fractal process.

Usage

lmConfidence(x, model, conf.level=0.95,
    parm.known=FALSE, n.rep=100000)

Arguments

x	a vector containing a uniformly-sampled real-valued time series or an object of class wavTransform.
model	an object of class "lmModel". Use the lmModel function to create this input.
conf.level	confidence interval probability on the interval (0,1). Default: 0.95.
n.rep	number of repititions in a Monte Carlo study. Default: 100000.
parm.known	a logical value. Default: FALSE.

Value

an two-element vector defining the low and high limits of the estimated confidence interval.

References

D. Percival and A. Walden (2000), Wavelet Methods for Time Series Analysis, Cambridge University Press, Chapter 7.

See Also

lmSimulate.

Examples

model <- lmModel("ppl",alpha=-0.9)
lmConfidence(lmSimulate(model), model)

fractal documentation built on May 2, 2019, 6:07 p.m.