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robfilter (version 4.1.5)

dfs: Degrees of freedom for the SCARM test statistic.

Description

This matrix contains degrees of freedom for the t-distributed SCARM test statistic; required by the function scarm.filter.

Usage

data(dfs)

Arguments

Format

A data frame with 20 observations on the following 20 variables.

X5

a numeric vector

X10

a numeric vector

X15

a numeric vector

X20

a numeric vector

X25

a numeric vector

X30

a numeric vector

X35

a numeric vector

X40

a numeric vector

X45

a numeric vector

X50

a numeric vector

X55

a numeric vector

X60

a numeric vector

X65

a numeric vector

X70

a numeric vector

X75

a numeric vector

X80

a numeric vector

X85

a numeric vector

X90

a numeric vector

X95

a numeric vector

X100

a numeric vector

Details

The SCARM test from the function scarm.filter is based on the difference of Repeated Median slopes computed in a left-hand and right-hand window. The distribution of the SCARM test statistic is approximated by a t-distribution where the degrees of freedom depend on the width of the left- and right-hand window. This matrix delivers suitable degrees of freedom, obtained by simulations.

References

Borowski, M. and Fried, R. (2011) Robust moving window regression for online signal extraction from non-stationary time series: online window width adaption by testing for signal changes, submitted.