astsa (version 1.14)

test.linear: Test Linearity of a Time Series via Normalized Bispectrum

Description

Produces a plot of the tail probabilities of a normalized bispectrum of a series under the assumption the model is a linear process with iid innovations.

Usage

test.linear(series, color = TRUE, detrend = FALSE)

Arguments

series

the time series (univariate only)

color

if FALSE, the graphic is produced in gray scale

detrend

if TRUE, the series is detrended first

Value

prob

matrix of tail probabilities - returned invisibly

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts are https://www.stat.pitt.edu/stoffer/tsa4/ and https://www.stat.pitt.edu/stoffer/tsda/.

Examples

# NOT RUN {
test.linear(nyse)  # :(
test.linear(soi)   # :)
# }