Displaying 6 results from an estimated 6 matches for "terasvirta".
2001 Mar 03
1
vector argument to rnorm
...norm(length(c(100,1,2))))
[1] 3
> length(rnorm(c(100,0,1,2,3,4,5)))
[1] 7
ie if you pass in a single element vector the first element of that is
taken as the desired n (OK) , but otherwise the length of the vector
argument is taken as the desired n.
I came across this usage in an example for terasvirta.test (same for
white.test) in tseries
> example(terasvirta.test)
trsvr.> n <- 1000
trsvr.> x <- runif(1000, -1, 1)
trsvr.> y <- x^2 - x^3 + 0.1 * rnorm(x)
trsvr.> terasvirta.test(x, y)
and it seemed to me that rnorm(n) was what was intended, not that it would
make any d...
2012 May 31
2
time-series statistics collection
....
skewness
kurtosis
min
max
mean
SD
trend
seasonality
periodicity
chaos (Lyapunov Exponent) / Largest Lyapunov Exponent (i think is the same
statistic)
serial correlation / auto-correlation (this is the same if i am correct
Box-Pierce autocorrelation sum)
higher-order autocorrelation
nonlinearity (terasvirta test)
self similarity (Hurst exponent)
matual information sum
any other statistics that i am missing? Maybe other useful tests?
or books/papers that i could find more?
also any packages that can compute some/all of them?
Best,
PA
[[alternative HTML version deleted]]
2004 Jan 13
3
How can I test if a not independently and not identically distributed time series residuals' are uncorrelated ?
I'm analizing the Argentina stock market (merv)
I download the data from yahoo
library(tseries)
Argentina <- get.hist.quote(instrument="^MERV","1996-10-08","2003-11-03", quote="Close")
merv <- na.remove(log(Argentina))
I made the Augmented Dickey-Fuller test to analyse
if merv have unit root:
adf.test(merv,k=13)
Dickey-Fuller = -1.4645,
1999 Sep 20
0
Updated tseries package
...Optimization
quadmap Quadratic Map (Logistic Equation)
read.matrix Read Matrix Data
read.ts Read Time Series Data
runs.test Runs Test
surrogate Generate Surrogate Data
tcm Yields on Treasury Securities
terasvirta.test Teraesvirta Neural Network Test for
Nonlinearity
white.test White Neural Network Test for Nonlinearity
Comments and suggestions are welcome!
Adrian
--
Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Ph...
1999 Sep 20
0
Updated tseries package
...Optimization
quadmap Quadratic Map (Logistic Equation)
read.matrix Read Matrix Data
read.ts Read Time Series Data
runs.test Runs Test
surrogate Generate Surrogate Data
tcm Yields on Treasury Securities
terasvirta.test Teraesvirta Neural Network Test for
Nonlinearity
white.test White Neural Network Test for Nonlinearity
Comments and suggestions are welcome!
Adrian
--
Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Ph...
1999 Aug 12
2
R Add-on Packages
As the 0.65 release should happen within the next few weeks, now would
be a good time for updating/improving our impressive collection of add
on packages.
Issues to look look into include:
* Valid and complete DESCRIPTION, TITLE and INDEX files.
* Complete data/00Index files (if applicable).
* All examples should be executable to that R CMD check passes.
* src/Makefile (if there, most likely