cvm_2series | R Documentation |
This function computes the Cramer-von Mises statistics between x(t) and y(t-l), for l=-lag,.., lag, and also the combinations of the p-values of these statistics.
cvm_2series(x, y, lag, graph = TRUE)
x |
Pseudo-observations (or residuals) of first series |
y |
Pseudo-observations (or residuals) of second series |
lag |
Maximum number of lags around 0 |
graph |
Set to TRUE for a dependogram for all possible lags. |
cvm |
Cramer-von Mises statistics for all lags |
Wstat |
Sum of (unbiased) Cramer-von Mises statistics |
Fstat |
Combination of p-values of the Cramer-von Mises statistics |
pvalue |
List of p-values for the cvm, Wstat, and Fstat |
Duchesne, Ghoudi & Remillard (2012). On Testing for independence between the innovations of several time series. CJS, vol. 40, 447-479.
data(gas)
out <-cvm_2series(gas$xres,gas$yres,3)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.