stoch.reg

Performs frequency domain stochastic regression discussed in Chapter 7.

Contains data sets and scripts for analyzing time series in both the frequency and time domains including state space modeling as well as supporting the texts 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