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ptest (version 1.0-8)

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.