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MSinference (version 0.2.1)

Multiscale Inference for Nonparametric Time Trend(s)

Description

Performs a multiscale analysis of a nonparametric regression or nonparametric regressions with time series errors. In case of one regression, with the help of this package it is possible to detect the regions where the trend function is increasing or decreasing. In case of multiple regressions, the test identifies regions where the trend functions are different from each other. See Khismatullina and Vogt (2020) , Khismatullina and Vogt (2022) and Khismatullina and Vogt (2023) for more details on theory and applications.

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Version

Install

install.packages('MSinference')

Monthly Downloads

198

Version

0.2.1

License

GPL (>= 2)

Maintainer

Marina Khismatullina

Last Published

August 21st, 2024

Functions in MSinference (0.2.1)

estimate_lrv

Computes estimator of the long-run variance of the error terms.
plot_sizer_map

Plots SiZer map from the test results of the multiscale testing procedure.
select_order

Calculates different information criterions for a single time series or multiple time series with AR(\(p\)) errors based on the long-run variance estimator(s) for a range of tuning parameters and different orders \(p\).
temperature

Hadley Centre Central England Temperature (HadCET) dataset, Monthly Mean Central England Temperature (Degrees C)
corrections

Computes vector of correction terms for second-stage estimator of AR parameters as described in Khismatullina, Vogt (2019).
construct_grid

Computes the location-bandwidth grid for the multiscale test.
compute_minimal_intervals

Computes the set of minimal intervals as described in Duembgen (2002)
MSinference-package

Multiscale Inference for Nonparametric Time Trend(s)
construct_weekly_grid

Computes the location-bandwidth weekly grid for the multiscale test.
compute_quantiles_2

Computes quantiles of the gaussian multiscale statistics.
compute_statistics

Calculates the value of the test statistics both for single time series analysis and multiple time series analysis.
compute_quantiles

Computes quantiles of the gaussian multiscale statistics.
multiscale_test

Carries out the multiscale test given that the values the estimatates of long-run variance have already been computed.
ar_coef

Computes estimator of the AR(p) coefficients by the procedure from Khismatullina and Vogt (2020).
covid

Number of daily new cases of infections of COVID-19 per country.
emp_acf

Computes autocovariances at lags 0 to p for the ell-th differences of data.
variance_eta

Computes variance of AR(p) innovation terms eta.