F_test_cfar function

F Test for a CFAR Process

F test for a CFAR process to specify the CFAR order.

F_test_cfar(f, p.max = 6, df_b = 10, grid = 1000)

Arguments

• f: the functional time series.
• p.max: the maximum CFAR order. Default is 6.
• df_b: the degrees of freedom for natural cubic splines. Default is 10.
• grid: the number of gird points used to construct the functional time series and noise process. Default is 1000.

Returns

The function outputs F test statistics and their p-values.

References

Liu, X., Xiao, H., and Chen, R. (2016) Convolutional autoregressive models for functional time series. Journal of Econometrics, 194, 263-282.