[英]Stationarity test using R
使用平穩性測試,我嘗試提取與“ T的p值”行相對應的結果,在這種情況下,該行為0,但我似乎無法使用R做到這一點。
> stationarity(lg.day.ret)
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N = 2609, nblock = 11, n_block_max = 238, dt = 1.0000
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Priestley-Subba Rao stationarity Test for lg.day.ret
----------------------------------------------------
Samples used : 2609
Samples available : 2607
Sampling interval : 1
SDF estimator : Multitaper
Number of (sine) tapers : 5
Centered : TRUE
Recentered : FALSE
Number of blocks : 11
Block size : 237
Number of blocks : 11
p-value for T : 0
p-value for I+R : 0.08981712
p-value for T+I+R : 0
其中lg.day.ret可以是任何實向量。
提前致謝。
猜一猜您要尋找的東西...
library(fractal) # Don't forget to include where the function comes from
# in your example
results <- stationarity(ecgrr, n.block=8) #using sample data from
# fractal package
str(results) # Tells you more about the object
pvalues <- attr(results,"pvals")
## T I+R T+I+R
## 0.0001217759 0.0592977070 0.0013647583
pvalues[1]
## T
## 0.0001217759
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