fix.test

fix.test() generates a test of Stability for AR Approximations with fixed parameters.

We provide functions for estimation and inference of locally-stationary time series using the sieve methods and bootstrapping procedure. In addition, it also contains functions to generate Daubechies and Coiflet wavelet by Cascade algorithm and to process data visualization.

Xiucai Ding

Sie2nts

Sieve Methods for Non-Stationary Time Series

Chen Qian

fix.test function

<dl><dt>ts</dt>
<dd>ts is the data set which is a time series data typically</dd>
<dt>c</dt>
<dd>c indicates the number of basis used to estimate (For wavelet, the number of basis is 2^c. If
Cspli is chosen, the real number of basis is c-2+or)</dd>
<dt>b</dt>
<dd>b is the lag for auto-regressive model</dd>
<dt>type</dt>
<dd>type indicates which type of basis is used. There are 31 types in this package</dd>
<dt>or</dt>
<dd>indicates the order of spline and only used in Cspli type, default is 4 which indicates cubic spline</dd>
<dt>B.s</dt>
<dd>the number of statistics used in multiplier bootstrap, the default value is 1000</dd>
<dt>m</dt>
<dd>the number of window size used in multiplier bootstrap, the default value is 0 which uses the
minimum volatility method to determine the number</dd></dl>

Arguments

The Test of Stability for Auto-Regressive (AR) Approximations With Fixed Parameters — fix.test

<dl>

<dt>ts</dt>
<dd>ts is the data set which is a time series data typically</dd>


<dt>c</dt>
<dd>c indicates the number of basis used to estimate (For wavelet, the number of basis is 2^c. If
Cspli is chosen, the real number of basis is c-2+or)</dd>


<dt>b</dt>
<dd>b is the lag for auto-regressive model</dd>


<dt>type</dt>
<dd>type indicates which type of basis is used. There are 31 types in this package</dd>


<dt>or</dt>
<dd>indicates the order of spline and only used in Cspli type, default is 4 which indicates cubic spline</dd>


<dt>B.s</dt>
<dd>the number of statistics used in multiplier bootstrap, the default value is 1000</dd>


<dt>m</dt>
<dd>the number of window size used in multiplier bootstrap, the default value is 0 which uses the
minimum volatility method to determine the number</dd>

</dl>

fix.test: The Test of Stability for Auto-Regressive (AR) Approximations With Fixed Parameters

Description

Usage

Value

Arguments