GetFitHRegL1: Compute loglikelihood ratio test statistic under the laplace noises
Description
The -2 loglikelihood ratio test statistic, -2LLR, is computed
for testing for periodicity under the laplace noises.
Usage
GetFitHRegL1(y)
Arguments
y
Vector containing the series.
Value
Vector of length 2 containing
the -2 loglikelihood ratio test statistic under the laplace noises
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 absolute estimation.
The computation is completed by the Exterior Point Methods
with theimported function rq.fit.br
from the package quantreg.
References
Li, T. H. (2010). A nonlinear method for robust spectral analysis.
Signal Processing, IEEE Transactions on, 58(5), 2466-2474.