delta.lin {tsDyn} | R Documentation |
delta test of linearity based on conditional mutual information
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)
x |
time series |
m |
vector of embedding dimensions |
d |
time delay |
eps |
vector of length scales |
B |
number of bootstrap replications |
delta test of linearity based on conditional mutual information
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.
Antonio, Fabio Di Narzo
Sebastiano Manzan, Essays in Nonlinear Economic Dynamics, Thela Thesis (2003)
delta.lin(log10(lynx), m=3)