delta test of linearity based on conditional mutual information
Usage
delta.lin(x, m, d=1)
delta.lin.test(x, m=2:3, d=1, eps=seq(0.5*sd(x),2*sd(x),length=4), B=49)
Arguments
x
time series
m
vector of embedding dimensions
d
time delay
eps
vector of length scales
B
number of bootstrap replications
Value
delta.lin returns the parametrically estimated delta statistic for the given time series (assuming linearity). delta.lin.test returns the bootstrap based 1-sided p-value. The test statistic is the difference between the parametric and nonparametric delta estimators.
Details
delta test of linearity based on conditional mutual information
References
Sebastiano Manzan, Essays in Nonlinear Economic Dynamics, Thela Thesis (2003)