ADCF.
ADCFplot(x, MaxLag = 15, ylim = NULL, main = NULL, method = c("Wild Bootstrap", "Subsampling"), b = 499)ADCF. Default is 15.
y limits of the plot. The default value, NULL, indicates that
the range $(0,v)$, where $v$ is the maximum number between 1 and the empirical critical values, should be used.
ADCF values. It also returns a list with
MaxLag.
ADCV (and thus ADCF) can be expressed as a V-statistic of order two, which
under the null hypothesis of independence is degenerate. Thus, constructing a plot analogous to the traditional autocorrelation
plot where the confidence intervals are obtained simultaneously, turns to be a complicated task. To overcome this issue, the 95%
confidence intervals shown in the plot (dotted blue horizontal line) are computed simultaneously via Monte Carlo simulation, and in
particular via the Independent Wild Bootstrap approach (Shao, 2010; Leucht and Neumann, 2013). The reader is referred to Fokianos and Pitsillou (2016, Section 6.2)
for the steps followed. mADCFplot returns an analogous plot of the estimated auto-distance correlation function for a
multivariate time series.In addition, one can compute the pairwise 95% critical values via the subsampling approach suggested by Zhou (2012, Section 5.1). That is, the critical values are obtained at each lag separately. The block size of the procedure is based on the minimum volatility method proposed by Politis et al. (1999, Section 9.4.2).
Leucht, A. and M. H. Neumann (2013). Dependent wild bootstrap for degenerate U- and V- statistics. Journal of Multivariate Analysis $\textbf{117}$, 257-280, http://dx.doi.org/10.1016/j.jmva.2013.03.003.
Politis, N. P., J. P. Romano and M. Wolf (1999). Subsampling. New York: Springer.
Shao, X. (2010). The dependent wild bootstrap. Journal of the American Statistical Association $\textbf{105}$, 218-235, http://dx.doi.org/10.1198/jasa.2009.tm08744.
Zhou, Z. (2012). Measuring nonlinear dependence in time series, a distance correlation approach. Journal of Time Series Analysis $\textbf{33}$, 438-457, http://dx.doi.org/10.1111/j.1467-9892.2011.00780.x.
ADCF, ADCV, mADCFplot
## Not run: ADCFplot(rnorm(100),ylim=c(0,0.4),method="Subs")
ADCFplot(mdeaths,method="Wild",b=100)
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