F_test_cfarh function

F Test for a CFAR Process with Heteroscedasticity and Irregular Observation Locations

F test for a CFAR process with heteroscedasticity and irregular observation locations to specify the CFAR order.

F_test_cfarh(
  f,
  weight,
  p.max = 3,
  grid = 1000,
  df_b = 10,
  num_obs = NULL,
  x_pos = NULL
)

Arguments

• f: the functional time series.
• weight: the covariance functions for noise process.
• p.max: the maximum CFAR order. Default is 3.
• grid: the number of gird points used to construct the functional time series and noise process. Default is 1000.
• df_b: the degrees of freedom for natural cubic splines. Default is 10.
• num_obs: the numbers of observations. It is a t-by-1 vector, where t is the length of time.
• x_pos: the observation location matrix. If the locations are regular, it is a t-by-(n+1) matrix with all entries 1/n.

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.