getpvals {costat} R Documentation

Form a particular linear combination of two time series and assess the combination's stationarity p-value

Description

Given two time series, a set of combination coefficients, a function to combine them, this function makes the combination, tests the combination for stationarity, and returns the pvalue. Effectively, returns "how stationary" the combination is.

Usage

getpvals(par, prodcomb.fn, tsx, tsy, filter.number,
family=c("DaubExPhase", "DaubLeAsymm"),
verbose, tos = BootTOS, Bsims = 100, lapplyfn = lapply)


Arguments

 par The coefficients used to make the combination via the prodcomb.fn function. prodcomb.fn The function which computes the combination given the two time series and the combination parameters. tsx One of the time series. tsy The other time series. filter.number Wavelet smoothness to be used in the time series combination. family Wavelet family to be used in the time series combination. verbose Supplied directly to the call to plotBS function. tos The function the computes a test of stationarity Bsims Number of bootstrap simulations the test uses (if it does) lapplyfn The function used to process lists. Can be the regular lapply. If you have multicore package then can be the mclapply parallel processing to process the bootstraps in parallel.

Value

A single number between zero and one indicating the p-value from the hypothesis test of stationarity of the combination.

G. P. Nason

References

Cardinali, A. and Nason, Guy P. (2013) Costationarity of Locally Stationary Time Series Using costat. Journal of Statistical Software, 55, Issue 1.

Cardinali, A. and Nason, G.P. (2010) Costationarity of locally stationary time series. J. Time Series Econometrics, 2, Issue 2, Article 1.

findstysols

Examples

#
# Generate two toy time series data sets
#
x1 <- rnorm(32)
y1 <- rnorm(32)
#
# Generate two toy sets of parameters (for combination)
#
tmp.a <- c(1,-1)
tmp.b <- c(0.5, 0.5)
#
# Call the function and find out the degree of stationarity of this
# combination
#
## Not run: ans <- getpvals(c(tmp.a, tmp.b), prodcomb.fn=prodcomb, tsx=x1, tsy=y1,
filter.number=1, family="DaubExPhase")
## End(Not run)
#
# What is the p-value?
#
## Not run: ans
# [1] 0.53


[Package costat version 2.4 Index]