tsZIC.test {ConfZIC} | R Documentation |
Test whether two ZIC values differ significantly based on minimum ZIC for time series data
Description
Test whether two ZIC values differ significantly based on minimum ZIC for time series data.
Usage
tsZIC.test(x,model1,model2,model_ZIC="AIC",alpha=0.05)
Arguments
x |
time series data (maximum of 1000 data points). |
model1 |
AR and MA coefficients of Model 1. |
model2 |
AR and MA coefficients of Model 2. |
model_ZIC |
type of the information criterion, it can be "AIC", "BIC", or "AICc" (Default is the "AIC"). |
alpha |
significance level |
Details
Consider the hypothesis: Under the null hypothesis that the two expected discrepancies are equal.
H_0: ZIC_i=ZIC_j , H_1: ZIC_i\neq ZIC_j
Z_0=\frac{(\hat{ZIC_i}-\hat{ZIC_j})-0}{\sqrt{SD(ZIC_i,ZIC_j)}} \sim N(0,1)
is calculated empirically.
Value
p-value with significance status.
References
Linhart, H. (1988). A test whether two AIC's differ significantly. South African Statistical Journal, 22(2), 153-161.
Examples
library(ConfZIC)
data(Sunspots)
x=Sunspots
model1=try(arima(x,order=c(1,0,1),method="ML",include.mean=FALSE),silent = TRUE)
model2=try(arima(x,order=c(1,0,0),method="ML",include.mean=FALSE),silent = TRUE)
tsZIC.test(x,model1,model2,model_ZIC="AIC",alpha=0.05)