esgcortest: Correlation tests for the shocks

In ESGtoolkit: Toolkit for Monte Carlo Simulations

Description

This function performs correlation tests for the shocks generated by simshocks.

Usage

esgcortest(
  x,
  alternative = c("two.sided", "less", "greater"),
  method = c("pearson", "kendall", "spearman"),
  conf.level = 0.95
)

Arguments

x	gaussian (bivariate) shocks, with correlation, generated by simshocks.
alternative	indicates the alternative hypothesis and must be one of "two.sided", "greater" or "less".
method	which correlation coefficient is to be used for the test : "pearson", "kendall", or "spearman".
conf.level	confidence level.

Value

a list with 2 components : estimated correlation coefficients, and confidence intervals for the estimated correlations.

Author(s)

Thierry Moudiki + stats package

References

D. J. Best & D. E. Roberts (1975), Algorithm AS 89: The Upper Tail Probabilities of Spearman's rho. Applied Statistics, 24, 377-379.

Myles Hollander & Douglas A. Wolfe (1973), Nonparametric Statistical Methods. New York: John Wiley & Sons. Pages 185-194 (Kendall and Spearman tests).

See Also

esgplotbands

Examples

nb <- 500

s0.par1 <- simshocks(n = nb, horizon = 3, frequency = "semi",
family = 1, par = 0.2)

s0.par2 <- simshocks(n = nb, horizon = 3, frequency = "semi", 
family = 1, par = 0.8)

(test1 <- esgcortest(s0.par1))
(test2 <- esgcortest(s0.par2))
par(mfrow=c(2, 1))
esgplotbands(test1)
esgplotbands(test2)

ESGtoolkit documentation built on July 1, 2020, 11:24 p.m.