GetFitHReg: Compute loglikelihood ratio test statistic
Description
The -2 loglikelihood ratio test statistic, -2LLR, is computed
for testing for periodicity.
Usage
GetFitHReg(y, t = 1:length(y))
Arguments
t
Vector of corresponding time points.
z
Vector containing the series.
Value
Vector of length 2 containing -2 loglikelihood ratio
test statistic and the estimated frequency.
Details
To compute the likelihood ratio statistic,
a harmonic regression model is fitted by
the maximum likelihood estimations (MLE)
according to the selected model. In particular, the frequency f is found by
the grid search among
$En = {j/101 | j=1,\dots,50 and j/101 \ge 1/n}$.
The MLE is equivalent to
the least square estimation.
References
Islam, M.S. (2008). Peridocity,
Change Detection and Prediction in Microarrays.
Ph.D. Thesis, The University of Western Ontario.