On Tue, 4 Oct 2011, bonda wrote:
Hello all,
I have the following two questions: 1) how can I get the values of
boundaries for fluctuation process gefp(), for functionals maxBB, meanL2BB,
etc?
Both, maxBB and meanL2BB, are objects of class "efpFunctional" that
contain several functions including $computeCritval and $boundary that
compute the critical value c and base boundary b(t), respectively. The
full boundary is the c * b(t). In case of maxBB and meanL2BB however, the
boundary is constant anyway, i.e., b(t) = 1, so you essentially need only
the critical value.
## compute and plot gefp
library("strucchange")
data("durab")
scus <- gefp(y ~ lag, data = durab)
plot(scus, functional = meanL2BB)
## add the critical value (= boundary here) in another color
abline(h = meanL2BB$computeCritval(0.05, nproc = 2), col = 4)
2) how can I get fragments of gefp()-process, e.g., if I have n=200
observations, i=1,2,...,200, and need gefp()[50:100], i.e. from i=50 till
i=100?
gefp_object$process has the cumulative score process as a "zoo" object
which preserves the original time scale of the data (if any), e.g.
proc <- scus$process
window(proc, start = 2000, end = 2001)
proc[11:20]
Note, however, that the process has n+1 observations because an additional
zero is added as the first element (to facilitate visualizations etc.).
See ?gefp, ?efpFunctional for more information and in particular
Zeileis A. (2006), Implementing a Class of Structural Change
Tests: An Econometric Computing Approach. _Computational
Statistics & Data Analysis_, *50*, 2987-3008.
doi:10.1016/j.csda.2005.07.001.
hth,
Z
Thank you in advance,
Julia
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