lr_cc_dist: Exact LR_cc (and LR_uc) distribution (auto‑select engine)

In ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing

Exact LR_cc (and LR_uc) distribution (auto‑select engine)

Description

Returns the finite‑sample distribution of Christoffersen’s conditional‑coverage statistic LR_{\mathrm{cc}}. The returned list also includes the matching unconditional‑coverage distribution LR_{\mathrm{uc}}, produced by the same dynamic‑programming run.

Usage

lr_cc_dist(n, alpha = 0.05, prune_threshold = 1e-15)

Arguments

n	Integer sample size (n \ge 1).
alpha	Exception probability \alpha \in (0,1).
prune_threshold	Probability below which states are pruned by the dynamic‑programming recursion.

Value

A named list with elements LR_cc, prob_cc, LR_uc, prob_uc. The pairs (LR_cc, prob_cc) and (LR_uc, prob_uc) have equal lengths; each probability vector is in [0,1] and sums to 1.

Examples

lr_cc_dist(8, 0.05)

ExactVaRTest documentation built on Aug. 23, 2025, 1:11 a.m.