stoch.reg {astsa} | R Documentation |
Performs frequency domain stochastic regression discussed in Chapter 7.
stoch.reg(data, cols.full, cols.red, alpha, L, M, plot.which)
data |
data matrix |
cols.full |
specify columns of data matrix that are in the full model |
cols.red |
specify columns of data matrix that are in the reduced model (use NULL if there are no inputs in the reduced model) |
alpha |
test size |
L |
smoothing - see |
M |
number of points in the discretization of the integral |
plot.which |
|
power.full |
spectrum under the full model |
power.red |
spectrum under the reduced model |
Betahat |
regression parameter estimates |
eF |
pointwise (by frequency) F-tests |
coh |
coherency |
The script is based on code that was contributed by Professor Doug Wiens, Department of Mathematical and Statistical Sciences, University of Alberta. See Example 7.1 on page 417 for a demonstration.
D.S. Stoffer
http://www.stat.pitt.edu/stoffer/tsa4/