modifiedmk (version 1.6)

bcpw: Hamed (2009) Bias Corrected Prewhitening.

Description

Hamed (2009) proposed a prewhitening technique in which the slope and lag-1 serial correltaion coefficient are simultaneously estimated. The lag-1 serial correlation coefficient is then corrected for bias before prewhitening.

Usage

bcpw(x)

Arguments

x

- Time series data vector

Value

Z-Value - Mann-Kendall Z-statistic after bias corrected prewhitening

Prewhitened Sen's Slope - Sen's slope of the prewhitened data

Sen's Slope - Sen's slope for the original data series 'x'

P-value - p-value after prewhitening

S - Mann-Kendall 'S' statistic

Var(s) - Variance of 'S'

Tau - Mann-Kendall's Tau

Details

Employs ordinary least squares (OLS) to simultaneously estimate the lag-1 serial correlation coefficient and slope of trend. The lag-1 serial correlation coefficient is then bias corrected.

References

Hamed, K. H. (2009). Enhancing the effectiveness of prewhitening in trend analysis of hydrologic data. Journal of Hydrology, 368: 143-155.

Kendall, M. (1975). Multivariate analysis. Charles Griffin. Londres. 0-85264-234-2.

Mann, H. B. (1945). Nonparametric Tests Against Trend. Econometrica, 13(3), 245-259. <doi:10.1017/CBO9781107415324.004>

van Giersbergen, N. P. A. (2005). On the effect of deterministic terms on the bias in stable AR models. Economic Letters, 89: 75-82.

Examples

# NOT RUN {
x<-c(Nile)
bcpw(x)

# }