| third {season} | R Documentation |
Third-order Moment
Description
Estimated third order moment for a time series.
Usage
third(data, n.lag, centre = TRUE, outmax = TRUE, plot = TRUE)
Arguments
data |
a vector of equally spaced numeric observations (time series). |
n.lag |
the number of lags, maximum = length of time series. |
centre |
centre series by subtracting mean (default=TRUE). |
outmax |
display the (x,y) lag co-ordinates for the maximum and minimum values (default=TRUE). |
plot |
contour plot of the third order moment (default=TRUE). |
Details
The third-order moment is the extension of the second-order moment
(essentially the autocovariance). The equation for the third order moment at
lags (j,k) is: n^{-1}\sum X_t X_{t+j} X_{t+k}. The third-order moment
is useful for testing for non-linearity in a time series, and is used by
nonlintest.
Value
waxis |
The axis – |
third |
The estimated third order moment in the range –n.lag to n.lag, including the symmetries. |
Author(s)
Adrian Barnett a.barnett@qut.edu.au
Examples
data(CVD)
third(CVD$cvd, n.lag=12)