Srho.test.AR.p {tseriesEntropy} | R Documentation |
Entropy Tests For Nonlinearity In Time Series - Parallel Version
Description
Entropy test of nonlinearity for time series based
on Srho.ts
and surrogate data obtained through
the sieve bootstrap. The parallel version requires parallel
.
Usage
Srho.test.AR(x, y, lag.max = 10, B = 100, plot = TRUE, quant = c(0.95, 0.99),
bw = c("reference", "mlcv", "lscv", "scv", "pi"), bdiag=TRUE,
method = c("integral", "summation"), tol = 0.001, order.max = NULL,
fit.method=c("yule-walker", "burg", "ols", "mle", "yw"), smoothed = TRUE ,...)
## Parallel version
Srho.test.AR.p(x, y, lag.max = 10, B = 100, plot = TRUE, quant = c(0.95, 0.99),
bw = c("reference", "mlcv", "lscv", "scv", "pi"), bdiag=TRUE,
method = c("integral", "summation"), tol = 0.001, order.max = NULL,
fit.method=c("yule-walker", "burg", "ols", "mle", "yw"), smoothed = TRUE,
nwork=detectCores(),...)
Arguments
x , y |
univariate numeric time series object or numeric vectors ( |
lag.max |
maximum lag at which to calculate Srho; the default is 10. |
B |
number of surrogate time series. |
plot |
logical. If |
quant |
quantiles to be specified for the computation of the significant lags and the plot of confidence bands. Up to 2 quantiles can be specified. Defaults are 95% and 99%. |
bw |
see |
bdiag |
see |
method |
see |
tol |
see |
order.max |
see |
fit.method |
see |
smoothed |
logical. If |
nwork |
number of workers/processes to be used in parallel environments. |
... |
further arguments, typically passed to |
Details
For each lag from 1 to lag.max
Srho.test.AR
computes a test for nonlinearity for time series based
on Srho.ts
. The distribution under the null hypothesis of linearity is obtained through the sieve bootstrap.
The routine requires the package parallel to spawn multiple workers.
Value
An object of class "Srho.test", which is a list with the following elements:
.Data |
vector of |
call: |
Object of class |
call.h: |
Object of class |
quantiles |
Object of class |
test.type |
Object of class |
significant.lags |
Object of class |
p.value |
Object of class |
lags |
integer vector that contains the lags at which Srho is computed. |
stationary |
Object of class |
data.type |
Object of class |
notes |
Object of class |
Author(s)
Simone Giannerini<simone.giannerini@unibo.it>
References
Giannerini S., Maasoumi E., Bee Dagum E., (2015), Entropy testing for nonlinear serial dependence in time series, Biometrika, 102(3), 661–675 doi:10.1093/biomet/asv007.
See Also
See Also Srho.ts
, surrogate.AR
, surrogate.ARs
, Srho.test.AR
.
Examples
## Not run:
## ************************************************************
## WARNING: computationally intensive, increase B with caution
## ************************************************************
# modify nwork to match the number of available cores
set.seed(13)
x <- arima.sim(n=120, model = list(ar=0.8));
result <- Srho.test.AR.p(x, lag.max = 5, B = 100, bw='reference', method='integral', nwork=2)
## ** Compare timings **
system.time(Srho.test.AR.p(x, lag.max = 5, B = 100, bw='reference', method='integral', nwork=4))
system.time(Srho.test.AR(x, lag.max = 5, B = 100, bw='reference', method='integral'))
## End(Not run)