Nothing
testthat::context("Test Pred and PIT")
data("SMI", package = "MSGARCH")
spec <- MSGARCH::CreateSpec(variance.spec = list(model = c("sGARCH")),
distribution.spec = list(distribution = c("norm")),
switch.spec = list(do.mix = FALSE, K = 2))
par <- c(0.021631876185, 0.087024443479, 0.881493722371, 0.020659831566,
0.005396009353, 0.994040728662, 0.978348086740, 0.998703301894)
testthat::test_that("Pred", {
tol <- 0.05
set.seed(1234)
est.pred <- as.vector(MSGARCH::PredPdf(object = spec, x = 0, data = SMI, par = par, nahead = 2))
exp.pred <- c(0.39670008854976474, 0.39453144146303032)
testthat::expect_true(max(abs(est.pred - exp.pred)) < tol)
})
testthat::test_that("PIT", {
tol <- 0.05
set.seed(1234)
est.PIT <- as.vector(MSGARCH::PIT(object = spec, x = 1, data = SMI, par = par, nahead = 2))
exp.PIT <- c(0.83930591484143302, 0.83970000000000000)
testthat::expect_true(max(abs(est.PIT - exp.PIT)) < tol)
})
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