AR function

Simulation of an AR(p) surrogate for a given time series x

It simulates an AR(p) surrogate for the time series x analyzed by wavelet transformation using either function analyze.wavelet or function analyze.coherency. A set of surrogates is used for significance assessment to test the hypothesis of equal periodic components.

Simulation is subject to coefficient estimates referring to the given AR order.

AR(x, params = list(AR = list(p = 1)))

Arguments

• x: the given time series

• params: a list containing an assignment of (the only) parameter value to AR. Default: NULL.

  Default includes:

  AR = list(...), a list containing one single element:

  	p	:	AR order.
  			Default: 1 .

Details

Basics of model estimation and simulation are provided by application of the R functions pcf and arima.sim.

Returns

A surrogate series for x is returned which has the same length and properties according to estimates resulting from the given AR order.

Author(s)

Angi Roesch and Harald Schmidbauer

See Also

analyze.wavelet, analyze.coherency, SurrogateData, ARIMA, FourierRand