TaylorCombined: The Taylor-based Monte-Carlo-approximation for a combined...

In CovCorTest: Statistical Tests for Covariance and Correlation Matrices and their Structures

The Taylor-based Monte-Carlo-approximation for a combined test

Description

An auxiliary function to calculate the values for the Taylor-based Monte-Carlo-approximation for the combined test. After receiving some auxiliary matrices and data, the Monte-Carlo observations are generated, and different parts of the final sum are defined. Based on this, a number of the Taylor-based vectors are calculated, where the number can be chosen.

Usage

TaylorCombined(
  repetitions,
  MSrootHatCov,
  CorData,
  MvrH1,
  MvrH2,
  M4,
  L,
  P,
  Q,
  nv
)

Arguments

repetitions	a number specifying the number of runs for the approximation
MSrootHatCov	the matrix root of the covariance matrix for the Taylor observations
CorData	the calculated correlation matrix
MvrH1	an auxiliary matrix for the transformation from vectorized covariances to vectorized correlations
MvrH2	an auxiliary matrix for the transformation from vectorized covariances to vectorized correlations
M4	an auxiliary matrix for the transformation from vectorized covariances to vectorized correlations
L	an auxiliary matrix for the transformation from vectorized covariances to vectorized correlations
P	an auxiliary matrix for the transformation from vectorized covariances to vectorized correlations
Q	an auxiliary matrix for the transformation from vectorized covariances to vectorized correlations
nv	vector of sample sizes

Value

a matrix containing the values of the test vector for a number of repetitions

CovCorTest documentation built on June 8, 2025, 11:50 a.m.