astsa: stoch.reg – R documentation

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stoch.reg

Frequency Domain Stochastic Regression

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 `spans` in `spec.pgram`
`M`	number of points in the discretization of the integral
`plot.which`	`coh` or `F.stat`, to plot either the squared-coherencies or the F-statistics, respectively

`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.

D.S. Stoffer

Applied Statistical Time Series Analysis

v1.12

GPL-3

Authors

David Stoffer

Initial release

2020-12-20