interv_test.tsglm {tscount} | R Documentation |
Testing for Interventions in Count Time Series Following Generalised Linear Models
Description
Test for one or more interventions of given type at given time as proposed by Fokianos and Fried (2010, 2012).
Usage
## S3 method for class 'tsglm'
interv_test(fit, tau, delta, external,
info=c("score"), est_interv=FALSE, ...)
Arguments
fit |
an object of class |
tau |
integer vector of times at which the interventions occur which are tested for. |
delta |
numeric vector that determines the types of the interventions (see Details). Must be of the same length as |
external |
logical vector of length |
info |
character value that determines how to calculate the information matrix, see |
est_interv |
logical value. If |
... |
additional arguments passed to the fitting function |
Details
A score test on the null hypothesis of no interventions is done. The null hypothesis is that the data are generated from the model specified in the argument model
, see definition in tsglm
. Under the alternative there are one or more intervention effects occuring at times tau
. The types of the intervention effects are specified by delta
as defined in interv_covariate
. The interventions are included as additional covariates according to the definition in tsglm
. It can have an internal (the default) or external (external=TRUE
) effect (see Liboschik et al., 2014).
Under the null hypothesis the test statistic has asymptotically a chi-square distribution with length(tau)
(i.e. the number of breaks) degrees of freedom. The returned p-value is based on this and approximately valid for long time series, i.e. when length(ts)
large.
Value
An object of class "interv_test"
, which is a list with at least the following components:
test_statistic |
value of the test statistic. |
df |
degrees of freedom of the chi-squared distribution the test statistic is compared with. |
p_value |
p-value of the test. |
fit_H0 |
object of class |
model_interv |
model specification of the model with the specified interventions. |
If argument est_interv=TRUE
, the following component is additionally returned:
fit_interv |
object of class |
Author(s)
Tobias Liboschik, Philipp Probst, Konstantinos Fokianos and Roland Fried
References
Fokianos, K. and Fried, R. (2010) Interventions in INGARCH processes. Journal of Time Series Analysis 31(3), 210–225, http://dx.doi.org/10.1111/j.1467-9892.2010.00657.x.
Fokianos, K., and Fried, R. (2012) Interventions in log-linear Poisson autoregression. Statistical Modelling 12(4), 299–322. http://dx.doi.org/10.1177/1471082X1201200401.
Liboschik, T. (2016) Modelling count time series following generalized linear models. PhD Thesis TU Dortmund University, http://dx.doi.org/10.17877/DE290R-17191.
Liboschik, T., Kerschke, P., Fokianos, K. and Fried, R. (2016) Modelling interventions in INGARCH processes. International Journal of Computer Mathematics 93(4), 640–657, http://dx.doi.org/10.1080/00207160.2014.949250.
See Also
S3 method print
.
tsglm
for fitting a GLM for time series of counts.
interv_detect
for detection of single interventions of given type and interv_multiple
for iterative detection of multiple interventions of unknown types. interv_covariate
for generation of deterministic covariates describing intervention effects.
Examples
###Campylobacter infections in Canada (see help("campy"))
#Test for the intervention effects which were found in Fokianos und Fried (2010):
campyfit <- tsglm(ts=campy, model=list(past_obs=1, past_mean=c(7,13)))
campyfit_intervtest <- interv_test(fit=campyfit, tau=c(84,100), delta=c(1,0))
campyfit_intervtest