Type: | Package |
Title: | Stationarity Test Based on Unsystematic Sub-Sampling |
Version: | 0.2.1 |
Maintainer: | Haeran Cho <haeran.cho@bristol.ac.uk> |
Description: | Performs a test for second-order stationarity of time series based on unsystematic sub-samples. |
License: | GPL-2 |
Suggests: | RcppArmadillo |
Imports: | Rcpp (≥ 0.12.10), doParallel, foreach, iterators |
LinkingTo: | Rcpp, RcppArmadillo |
RoxygenNote: | 7.3.1 |
Encoding: | UTF-8 |
NeedsCompilation: | yes |
Author: | Haeran Cho [aut, cre] |
Repository: | CRAN |
Packaged: | 2025-04-04 21:14:35 UTC; mahrc |
Date/Publication: | 2025-04-04 21:30:02 UTC |
A second-order stationarity of time series based on unsystematic sub-samples
Description
The function implements a stationarity test procedure, where the main statistic is obtained from measuring the difference in the second-order structure over pairs of randomly drawn intervals. Maximising the main statistics after AR Sieve bootstrap-based variance stabilisation, the test statistic is obtained which is reported along with the corresponding pair of intervals and the test outcome.
Usage
unsys.station.test(
x,
M = 2000,
sig.lev = 0.05,
max.scale = NULL,
m = NULL,
B = 200,
eps = 5,
use.all = FALSE,
do.parallel = 0
)
Arguments
x |
input time series |
M |
number of randomly drawn intervals |
sig.lev |
significance level between |
max.scale |
number of wavelet scales used for wavelet periodogram computation; |
m |
minimum length of a random interval; |
B |
bootstrap sample size |
eps |
a parameter used for random interval generation, see the supplementary document of Cho (2016) |
use.all |
if |
do.parallel |
number of copies of R running in parallel, if |
Value
intervals |
a pair of intervals corresponding to the test statistic, exhibiting the most distinct second-order behaviour |
test.stat |
test statistic |
test.criterion |
test criterion |
test.res |
if |
References
H. Cho (2016) A second-order stationarity of time series based on unsystematic sub-samples. Stat, vol. 5, 262-277.
Examples
## Not run:
x <- rnorm(200)
unsys.station.test(x, M=1000)
## End(Not run)