lr_ind_dist: Exact LR_ind distribution (auto‑select engine)

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

Exact LR_ind distribution (auto‑select engine)

Description

Returns the finite‑sample distribution of Christoffersen’s independence statistic LR_{\mathrm{ind}}.

Usage

lr_ind_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 and prob of equal length, where LR is the support of the LR statistic and prob are the corresponding probabilities in [0,1] that sum to 1.

Examples

lr_ind_dist(8, 0.05)

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