Performs bootstrap statistical tests on covariance to validate MSVAR models.

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Description

Performs bootstrap statistical on covariance to validate MSVAR models.

Usage

1

Arguments

data

observed (or reference) time series, array of dimension T*N.samples*d

simu

simulated time series, array of dimension T*N.sim*d. N.sim have to be K*N.samples with K large enough (for instance, K=100)

lag

to be considered (usefull for state space models)

Details

Test statistics

S = || C_n-C ||

Value

Returns a list including

Cvect

statistics of covariance

..$dd

test statistic

..$q.dd

quantiles .05 and .95 of the distribution of the test statistic underthe null hypothesis

..$p.value

p value

Author(s)

Valerie Monbet, valerie.monbet@univ-rennes1.fr

See Also

valid_all, test.model.MSAR

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