Keenan.test {TSA} | R Documentation |
Keenan's one-degree test for nonlinearity
Description
Carry out Keenan's 1-degree test for nonlinearity against the null hypothesis that the time series follows some AR process.
Usage
Keenan.test(x, order, ...)
Arguments
x |
time series |
order |
working AR order; if missing, it is estimated by minimizing AIC via the ar function. |
... |
user-supplied options to the ar function. |
Details
The test is designed to have optimal local power against depature from the linear autoregressive function in the direction of the square of the linear autoregressive function.
Value
A list containing the following components
test.stat |
The observed test statistic |
p.value |
p-value of the test |
order |
working AR order |
Author(s)
Kung-Sik Chan
References
Keenan, D. M. (1985), A Tukey nonadditivity-type test for time series Nonlinearity, Biometrika, 72, 39-44.
See Also
Examples
data(spots)
Keenan.test(sqrt(spots))
[Package TSA version 1.3.1 Index]