third: Third-order moment

Description Usage Arguments Details Value Author(s) Examples

View source: R/third.R

Description

Estimated third order moment for a time series.

Usage

1
third(data, n.lag, centre=TRUE, outmax=TRUE, plot=TRUE)

Arguments

data

a vector of equally spaced numeric observations (time series).

n.lag

the number of lags, maximum = length of time series.

centre

centre series by subtracting mean (default=TRUE).

outmax

display the (x,y) lag co-ordinates for the maximum and minimum values (default=TRUE).

plot

wireframe plot of the third order moment (default=TRUE).

Details

The third-order moment is the extension of the second-order moment (essentially the autocovariance). The equation for the third order moment at lags (j,k) is: n^{-1}∑ X_t X_{t+j} X_{t+k}. The third-order moment is useful for testing for non-linearity in a time series, and is used by nonlintest.

Value

waxis

The axis –n.lag to n.lag.

third

The estimated third order moment in the range –n.lag to n.lag, including the symmetries.

Author(s)

Adrian Barnett a.barnett<at>qut.edu.au

Examples

1
2
data(CVD)
third(CVD$cvd,n.lag=12)

season documentation built on May 2, 2019, 5:22 p.m.