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The function lsv is used to estimate the σ and H parameters of the HKp, using the LSV (Least Squares based on Variance) method as described in Tyralis and Koutsoyiannis (2011,Section 2.4).
● Data Source:
CranContrib
● Keywords: ts
● Alias: lsv
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The function MannKendallLTP applies the Mann-Kendall test under the scaling hypothesis for the data (Hamed 2008).
● Data Source:
CranContrib
● Keywords: htest, ts
● Alias: MannKendallLTP
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The function inferfmetrop is used to create a sample from the posterior distribution of φ. The function uses the eq.10 in Tyralis and Koutsoyiannis (2014) and a Metropolis algorithm to make inference on φ.
● Data Source:
CranContrib
● Keywords: models
● Alias: inferfmetrop
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The function infermsmetrop is used to create a sample from the posterior distribution of μ and σ^2, using eqs. 8,9 in Tyralis and Koutsoyiannis (2014) for the HKp.
● Data Source:
CranContrib
● Keywords: models
● Alias: infermsmetrop
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The function lssd is used to estimate the σ and H parameters of the HKp, using the LSSD (Least Squares based on Standard Deviation) method as described in Koutsoyiannis (2003) and Tyralis and Koutsoyiannis (2011,Section 2.3).
● Data Source:
CranContrib
● Keywords: ts
● Alias: lssd
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The function inferf is used to create a sample from the posterior distribution of φ. The function uses the eq.10 (Tyralis and Koutsoyiannis 2014) to make inference on φ and an Accept-Reject algorithm (see Robert and Casella 2004, Algorithm A.4).
● Data Source:
CranContrib
● Keywords: models
● Alias: inferf
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The function ltzb is used to calculate the value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix, using the Levinson algorithm (Golub and Van Loan 1996, Algorithm 4.7.2).
● Data Source:
CranContrib
● Keywords: array
● Alias: ltzb
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The function inferfmetrop is used to create a sample from the posterior distribution of H. The function uses the eq.10 in Tyralis and Koutsoyiannis (2014) and a Metropolis algorithm to make inference on H.
● Data Source:
CranContrib
● Keywords: models
● Alias: inferHmetrop
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The function ltza is used to calculate the value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix, using the Levinson algorithm (Golub and Van Loan 1996, Algorithm 4.7.2).
● Data Source:
CranContrib
● Keywords: array
● Alias: ltza
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The function infermsmetrop is used to create a sample from the posterior distribution of μ and σ^2, using eqs. 8,9 in Tyralis and Koutsoyiannis (2014) for the AR(1) process.
● Data Source:
CranContrib
● Keywords: models
● Alias: infermsfmetrop
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