使用 R 进行平稳性测试

Question

使用平稳性测试，我尝试提取对应于 "p-value for T" 行的结果，在本例中为 0，但我似乎无法使用 R 来完成。

    > 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 可以是任何实向量。

提前致谢。

Answer 1

正在猜测您要查找的内容...

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

使用 R 进行平稳性测试

Stationarity test using R

r

statistics

statistical-test