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WaveletComp (version 1.0)

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

Description

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.

Usage

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(p=1), where: rlll{ p : AR ord

Value

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

Details

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

See Also

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