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STFTS (version 0.1.0)

Statistical Tests for Functional Time Series

Description

A collection of statistical hypothesis tests of functional time series. While it will include more tests when the related literature are enriched, this package contains the following key tests: functional stationarity test, functional trend stationarity test, functional unit root test, to name a few.

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Version

Install

install.packages('STFTS')

Monthly Downloads

282

Version

0.1.0

License

GPL-2

Maintainer

Chi Pun

Last Published

August 19th, 2021

Functions in STFTS (0.1.0)

dataset_bm

Integrals of Squared Brownian Motion
fst

Functional Stationarity Test
partial_sum

Partial Sum
furt

Functional Unit Root Test
dataset_dbb

Integrals of Squared De-meaned Brownian Bridge
fkpsst

Functional KPSS Test
est_eigenvalue

Eigenvalues of An Estimated Long-run Covariance Function
FKPSS_teststat

Test Statistic in Functional KPSS Test
FST_teststat_MN

Test Statistic M_N in Functional Stationarity Test
FST_teststat_TN

Test Statistic T_N in Functional Stationarity Test
dataset_bb

Integrals of Squared Brownian Bridge
default_kernel

Default Kernel Function
dataset_sbb

Integrals of Squared Second-level Brownian Bridge