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diff --git a/help/en_US/scilab_en_US_help/arch_test.html b/help/en_US/scilab_en_US_help/arch_test.html new file mode 100644 index 0000000..27553e6 --- /dev/null +++ b/help/en_US/scilab_en_US_help/arch_test.html @@ -0,0 +1,82 @@ +<html><head> + <meta http-equiv="Content-Type" content="text/html; charset=utf-8"> + <title>arch_test</title> + <style type="text/css" media="all"> + @import url("scilab_code.css"); + @import url("xml_code.css"); + @import url("c_code.css"); + @import url("style.css"); + </style> + </head> + <body> + <div class="manualnavbar"> + <table width="100%"><tr> + <td width="30%"> + <span class="previous"><a href="arch_rnd.html"><< arch_rnd</a></span> + + </td> + <td width="40%" class="center"> + <span class="top"><a href="section_cc2bc01c47967d47fcf3507a91d572ba.html">FOSSEE Signal Processing Toolbox</a></span> + + </td> + <td width="30%" class="next"> + <span class="next"><a href="arcov.html">arcov >></a></span> + + </td> + </tr></table> + <hr /> + </div> + + + + <span class="path"><a href="index.html">FOSSEE Signal Processing Toolbox</a> >> <a href="section_cc2bc01c47967d47fcf3507a91d572ba.html">FOSSEE Signal Processing Toolbox</a> > arch_test</span> + + <br /><br /> + <div class="refnamediv"><h1 class="refname">arch_test</h1> + <p class="refpurpose">perform a Lagrange Multiplier (LM) test of thenull hypothesis of no conditional heteroscedascity against the alternative of CH(P)</p></div> + + +<div class="refsynopsisdiv"><h3 class="title">Calling Sequence</h3> + <div class="synopsis"><pre><span class="functionid">arch_test</span><span class="default">(</span><span class="default">Y</span><span class="default">,</span><span class="default">X</span><span class="default">,</span><span class="default">P</span><span class="default">)</span> +<span class="default">PVAL</span><span class="default"> = </span><span class="functionid">arch_test</span><span class="default">(</span><span class="default">Y</span><span class="default">,</span><span class="default">X</span><span class="default">,</span><span class="default">P</span><span class="default">)</span> +<span class="default">[</span><span class="default">PVAL</span><span class="default">, </span><span class="default">LM</span><span class="default">]= </span><span class="functionid">arch_test</span><span class="default">(</span><span class="default">Y</span><span class="default">,</span><span class="default">X</span><span class="default">,</span><span class="default">P</span><span class="default">)</span></pre></div></div> + +<div class="refsection"><h3 class="title">Parameters</h3> + <dl><dt><span class="term">P:</span> + <dd><p class="para">Degrees of freedom</p></dd></dt> + <dt><span class="term">PVAL:</span> + <dd><p class="para">PVAL is the p-value (1 minus the CDF of this distribution at LM) of the test</p></dd></dt></dl></div> + +<div class="refsection"><h3 class="title">Description</h3> + <p class="para">perform a Lagrange Multiplier (LM) test of thenull hypothesis of no conditional heteroscedascity against the alternative of CH(P).</p> + <p class="para">I.e., the model is</p> + <p class="para">y(t) = b(1) * x(t,1) + ... + b(k) * x(t,k) + e(t),</p> + <p class="para">given Y up to t-1 and X up to t, e(t) is N(0, h(t)) with</p> + <p class="para">h(t) = v + a(1) * e(t-1)^2 + ... + a(p) *e(t-p)^2, and the null is a(1) == ... == a(p) == 0.</p> + <p class="para">If the second argument is a scalar integer, k,perform the sametest in a linear autoregression model of orderk, i.e., with</p> + <p class="para">[1, y(t-1), ..., y(t-K)] as the t-th row of X.</p> + <p class="para">Under the null, LM approximatel has a chisquare distribution with P degrees of freedom and PVAL is the p-value (1 minus the CDF of this distribution at LM) of the test.</p> + <p class="para">If no output argument is given, the p-value is displayed.</p></div> + <br /> + + <div class="manualnavbar"> + <table width="100%"> + <tr><td colspan="3" class="next"><a href="http://bugzilla.scilab.org/enter_bug.cgi?product=Scilab%20software&component=Documentation%20pages" class="ulink">Report an issue</a></td></tr> +<tr> + <td width="30%"> + <span class="previous"><a href="arch_rnd.html"><< arch_rnd</a></span> + + </td> + <td width="40%" class="center"> + <span class="top"><a href="section_cc2bc01c47967d47fcf3507a91d572ba.html">FOSSEE Signal Processing Toolbox</a></span> + + </td> + <td width="30%" class="next"> + <span class="next"><a href="arcov.html">arcov >></a></span> + + </td> + </tr></table> + <hr /> + </div> + </body> +</html> |