robfilter (version 3.2)

dfs: Degrees of freedom for the SCARM test statistic.

Description

This matrix contains degrees of freedom for the t-distributed SCARM test statistic; required by the function scarm.filter.

Usage

data(dfs)

docType

data

source

The degrees of freedom have been obtained by simulations.

Details

The SCARM test from the function scarm.filter is based on the difference of Repeated Median slopes computed in a left-hand and right-hand window. The distribution of the SCARM test statistic is approximated by a t-distribution where the degrees of freedom depend on the width of the left- and right-hand window. This matrix delivers suitable degrees of freedom, obtained by simulations.

References

Borowski, M. and Fried, R. (2011) Robust moving window regression for online signal extraction from non-stationary time series: online window width adaption by testing for signal changes, submitted.