astsa (version 1.3)

stoch.reg: Frequency Domain Stochastic Regression

Description

Performs frequency domain stochastic regression discussed in Chapter 7, Section 7.3.

Usage

stoch.reg(data, cols.full, cols.red, alpha, L, M, plot.which)

Arguments

data

data matrix

cols.full

specify columns of data matrix that are in the full model

cols.red

specify columns of data matrix that are in the reduced model (use NULL if there are no inputs in the reduced model)

alpha

test size

L

smoothing - see spans in spec.pgram

M

number of points in the discretization of the integral

plot.which

coh or F.stat, to plot either the squared-coherencies or the F-statistics, respectively

Value

• power.full
  spectrum under the full model
• power.red
  spectrum under the reduced model
• Betahat
  regression parameter estimates
• eF
  pointwise (by frequency) F-tests
• coh
  coherency

References

http://www.stat.pitt.edu/stoffer/tsa3/