EstDepSerialMoebius {MixedIndTests}

Dependence measures and statistics for test of randomness for a univariate time series

Description

This function computes copula-based dependence measures for Moebius versions of Spearmans's rho, van der Waerden's coefficient, and Savage's coefficient, as well as their combination for tests of randomness for p consecutive values Y(1), ..., Y(p).

Usage

EstDepSerialMoebius(y, p, trunc.level = 2, graph = FALSE)

Arguments

y

Time series

p

Number of consecutive observations

trunc.level

Only subsets of cardinality <= trunc.level (default=2) are considered for the Moebius statistics.

graph

Set to TRUE if one wants the dependogram of P-values for the Moebius statistics

Value

stat

List of statistics (spearman, vdw, savage) and test combinations Ln and Ln2 (only pairs)

pvalue

P-values for the tests

card

Cardinaly of the subsets for the Moebius statistics

subsets

Subsets for the Moebius statistics

References

B.R Nasri & B.N. Remillard (2023). Tests of independence and randomness for arbitrary data using copula-based covariances

Examples

y<- SimAR1Poisson(c(5,0.2),100)
out <- EstDepSerialMoebius(y,4,4)