stoch.reg

Performs frequency domain stochastic regression discussed in Chapter 7.

Data sets and scripts to accompany Time Series Analysis and Its Applications: With R Examples (4th ed), by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2017, <DOI:10.1007/978-3-319-52452-8>, and Time Series: A Data Analysis Approach Using R. Chapman-Hall, 2019, <DOI:10.1201/9780429273285>.

David Stoffer

astsa

Applied Statistical Time Series Analysis

stoch.reg function

<dl> <dt>data</dt>
<dd>data matrix</dd> <dt>cols.full</dt>
<dd>specify columns of data matrix that are in the full model</dd> <dt>cols.red</dt>
<dd>specify columns of data matrix that are in the reduced model (use NULL if there are no inputs in the reduced model)</dd> <dt>alpha</dt>
<dd>test size</dd> <dt>L</dt>
<dd>smoothing - see <code>spans</code> in <code>spec.pgram</code></dd> <dt>M</dt>
<dd>number of points in the discretization of the integral</dd> <dt>plot.which</dt>
<dd><code>coh</code> or <code>F.stat</code>, to plot either the squared-coherencies or the F-statistics, respectively</dd></dl>

Arguments

Author

Frequency Domain Stochastic Regression — stoch.reg

<dl>

 <dt>data</dt>
<dd>data matrix</dd>

 <dt>cols.full</dt>
<dd>specify columns of data matrix that are in the full model</dd>

 <dt>cols.red</dt>
<dd>specify columns of data matrix that are in the reduced model (use NULL if there are no inputs in the reduced model)</dd>

 <dt>alpha</dt>
<dd>test size</dd>

 <dt>L</dt>
<dd>smoothing - see <code>spans</code> in <code>spec.pgram</code></dd>

 <dt>M</dt>
<dd>number of points in the discretization of the integral</dd>

 <dt>plot.which</dt>
<dd><code>coh</code> or <code>F.stat</code>, to plot either the squared-coherencies or the F-statistics, respectively</dd>

</dl>

stoch.reg: Frequency Domain Stochastic Regression

Description

Usage

Value

Arguments

Author

References