delta test of linearity based on conditional mutual
information
Usage
delta.lin(x, m, d = 1)
delta.lin.test(x, m = 2:3, d = 1,
eps = seq(0.5 * sd(x), 2 * sd(x), length = 4), B = 49)
Arguments
x
time series
m
vector of embedding dimensions
d
time delay
eps
vector of length scales
B
number of bootstrap replications
Value
delta.lin returns the parametrically estimated
delta statistic for the given time series (assuming
linearity). delta.lin.test returns the bootstrap
based 1-sided p-value. The test statistic is the
difference between the parametric and nonparametric delta
estimators.
Details
delta test of linearity based on conditional mutual
information
References
Sebastiano Manzan, Essays in Nonlinear Economic Dynamics,
Thela Thesis (2003)