delta.lin {tsDyn} | R Documentation |
delta test of linearity
Description
delta test of linearity based on conditional mutual information
Usage
delta.lin(x, m, d = 1)
delta.lin.test(
x,
m = 2:3,
d = 1,
eps = seq(0.5 * sd(x), 2 * sd(x), length = 4),
B = 49
)
Arguments
x |
time series |
m |
vector of embedding dimensions |
d |
time delay |
eps |
vector of length scales |
B |
number of bootstrap replications |
Details
delta test of linearity based on conditional mutual information
Value
delta.lin
returns the parametrically estimated delta statistic
for the given time series (assuming linearity). delta.lin.test
returns
the bootstrap based 1-sided p-value. The test statistic is the difference
between the parametric and nonparametric delta estimators.
Author(s)
Antonio, Fabio Di Narzo
References
Sebastiano Manzan, Essays in Nonlinear Economic Dynamics, Thela Thesis (2003)
Examples
delta.lin(log10(lynx), m=3)
[Package tsDyn version 11.0.4.1 Index]