Surrogate: The surrogate data method

In pautocorr: Testing Autocorrelation and Partial Autocorrelation Through Bootstrap and Surrogate Methods

Description

Function Surrogate carries out the surrogate data method for testing (partial) autocorrelations. Function JN.NB computes the acceleration constant for the surrogate data method by sequentially deleting one observation from the sample data points.

Usage

Surrogate(ahat, data, a1, a2, boot, lagmax)
JN.NB(data, lagmax)

Arguments

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,a2	the percentages for the lower and upper limits of confidence intervals.
boot	number of surrogate data sets
lagmax	maximum lag at which to calculate (partial) autocorrelations

Details

Function JN.NB iteratively deletes one data point at a time from the original sample and computes (partial) autocorrelation estimates at each iteration. The acceleration constant is obtained by computing a quantity similar to the skewness of (partial) autocorrelation estimates at different iterations.

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

Value

The function Surrogate returns a list with two components: acf and pacf.

For acf:

se: standard error estimates for autocorrelations.

CI: a list of estimated confidence intervals for autocorrelations. Contain two elements: per and BCa

For acf:

se: standard error estimates for partial autocorrelations.

CI: a list of estimated confidence intervals for partial autocorrelations. Contain two elements: per and BCa

Function JN.NB returns a vector of accelerations for autocorrelations up to lagmax.

Author(s)

Zijun Ke <[e-mail]> and Zhiyong Zhang <[e-mail]>

References

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. Efron, B., & Tibshirani, R. J. (1994). An introduction to the bootstrap. Chapman and Hall/CRC.

pautocorr documentation built on May 2, 2019, 6:09 p.m.