boundary.efp

0th

Percentile

Boundary for Empirical Fluctuation Processes

Computes boundary for an object of class "efp"

Keywords
regression
Usage
# S3 method for efp
boundary(x, alpha = 0.05, alt.boundary = FALSE,
   functional = "max", ...)
Arguments
x

an object of class "efp".

alpha

numeric from interval (0,1) indicating the confidence level for which the boundary of the corresponding test will be computed.

alt.boundary

logical. If set to TRUE alternative boundaries (instead of the standard linear boundaries) will be computed (for Brownian bridge type processes only).

functional

indicates which functional should be applied to the empirical fluctuation process. See also plot.efp.

currently not used.

Value

an object of class "ts" with the same time properties as the process in x

See Also

efp, plot.efp

Aliases
  • boundary.efp
Examples
# NOT RUN {
## Load dataset "nhtemp" with average yearly temperatures in New Haven
data("nhtemp")
## plot the data
plot(nhtemp)

## test the model null hypothesis that the average temperature remains constant
## over the years
## compute OLS-CUSUM fluctuation process
temp.cus <- efp(nhtemp ~ 1, type = "OLS-CUSUM")
## plot the process without boundaries
plot(temp.cus, alpha = 0.01, boundary = FALSE)
## add the boundaries in another colour
bound <- boundary(temp.cus, alpha = 0.01)
lines(bound, col=4)
lines(-bound, col=4)
# }
Documentation reproduced from package strucchange, version 1.5-1, License: GPL-2 | GPL-3

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