test.model.vect.MSAR: Performs bootstrap statistical tests on covariance to...

In NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models

Description

Performs bootstrap statistical on covariance to validate MSVAR models.

Usage

test.model.vect.MSAR(data,simu,lag=NULL)

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, [e-mail]

See Also

valid_all, test.model.MSAR

NHMSAR documentation built on Feb. 9, 2022, 9:06 a.m.