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ptest (version 1.0-8)

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.