stoch.reg {astsa}R Documentation

Frequency Domain Stochastic Regression

Description

Performs frequency domain stochastic regression discussed in Chapter 7.

Usage

stoch.reg(data, cols.full, cols.red, alpha, L, M, plot.which)

Arguments

data

data matrix

cols.full

specify columns of data matrix that are in the full model

cols.red

specify columns of data matrix that are in the reduced model (use NULL if there are no inputs in the reduced model)

alpha

test size

L

smoothing - see spans in spec.pgram

M

number of points in the discretization of the integral

plot.which

coh or F.stat, to plot either the squared-coherencies or the F-statistics, respectively

Value

power.full

spectrum under the full model

power.red

spectrum under the reduced model

Betahat

regression parameter estimates

eF

pointwise (by frequency) F-tests

coh

coherency

Note

The script is based on code that was contributed by Professor Doug Wiens, Department of Mathematical and Statistical Sciences, University of Alberta.

Author(s)

D.S. Stoffer

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts are https://www.stat.pitt.edu/stoffer/tsa4/ and https://www.stat.pitt.edu/stoffer/tsda/.


[Package astsa version 1.14 Index]