- Home
- CRAN
**NHMSAR**: Non-Homogeneous Markov Switching Autoregressive Models**test.model.vect.MSAR**: Performs bootstrap statistical tests on covariance to...

# Performs bootstrap statistical tests on covariance to validate MSVAR models.

### Description

Performs bootstrap statistical on covariance to validate MSVAR models.

### Usage

1 | ```
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, valerie.monbet@univ-rennes1.fr

### See Also

valid_all, test.model.MSAR

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker. Vote for new features on Trello.

- Cond.prob.MSAR: Conditional probabilities for (non) homogeneous MSAR models
- Cond.prob.MSAR: Conditional probabilities for (non) homogeneous MSAR models
- cor.MSAR: Empirical correlation functions comparison .
- cor.MSAR: Empirical correlation functions comparison .
- cross.cor.MSAR: empirical cross-correlation for multivariate MSAR time series
- cross.cor.MSAR: empirical cross-correlation for multivariate MSAR time series
- emisprob.MSAR.VM: Emission probabilities for von Mises MSAR
- emisprob.MSAR.VM: Emission probabilities for von Mises MSAR
- ENu_graph: Plots empirical expected number of upcrossings of level u...
- ENu_graph: Plots empirical expected number of upcrossings of level u...
- Estep.MSAR: Estep of the EM algorithm for fitting (non) homogeneous...
- Estep.MSAR: Estep of the EM algorithm for fitting (non) homogeneous...
- Estep.MSAR.VM: Estep of the EM algorithm for fitting von Mises (non)...
- Estep.MSAR.VM: Estep of the EM algorithm for fitting von Mises (non)...
- fit.MSAR: Fit (non) homogeneous Markov switching autoregressive models
- fit.MSAR: Fit (non) homogeneous Markov switching autoregressive models
- fit.MSAR.VM: Fit von Mises (non) homogeneous Markov switching...
- fit.MSAR.VM: Fit von Mises (non) homogeneous Markov switching...
- forecast.prob.MSAR: Forecast probabilities for (non) homogeneous MSAR models
- forecast.prob.MSAR: Forecast probabilities for (non) homogeneous MSAR models
- forwards_backwards: Forward Backward for homogeneous MSAR models
- forwards_backwards: Forward Backward for homogeneous MSAR models
- init.theta.MSAR: Initialisation function for MSAR model fitting
- init.theta.MSAR: Initialisation function for MSAR model fitting
- init.theta.MSAR.VM: Initialisation function for von Mises MSAR model fitting
- init.theta.MSAR.VM: Initialisation function for von Mises MSAR model fitting
- log_dens_Von_Mises: von Mises log likelihood.
- log_dens_Von_Mises: von Mises log likelihood.
- MeanDurOver: Mean Duration of sojourn over a treshold
- MeanDurOver: Mean Duration of sojourn over a treshold
- MeanDurUnder: Mean Duration of sojourn under a treshold
- MeanDurUnder: Mean Duration of sojourn under a treshold
- meteo.data: Meteorological at Brest (France) for January month from 1973...
- meteo.data: Meteorological at Brest (France) for January month from 1973...
- Mstep.classif: fit an AR model for each class of C
- Mstep.classif: fit an AR model for each class of C
- Mstep.hh.lasso.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.lasso.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.MSAR: M step of the EM algorithm for fitting homogeneous Markov...
- Mstep.hh.MSAR: M step of the EM algorithm for fitting homogeneous Markov...
- Mstep.hh.MSAR.VM: M step of the EM algorithm for fitting von Mises Markov...
- Mstep.hh.MSAR.VM: M step of the EM algorithm for fitting von Mises Markov...
- Mstep.hh.MSAR.with.constraints: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.MSAR.with.constraints: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.reduct.MSAR: M step of the EM algorithm for fitting homogeneous Markov...
- Mstep.hh.reduct.MSAR: M step of the EM algorithm for fitting homogeneous Markov...
- Mstep.hh.ridge.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.ridge.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.SCAD.cw.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.SCAD.cw.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.SCAD.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hh.SCAD.MSAR: M step of the EM algorithm for fitting homogeneous...
- Mstep.hn.MSAR: M step of the EM algorithm for fitting Markov switching...
- Mstep.hn.MSAR: M step of the EM algorithm for fitting Markov switching...
- Mstep.nh.MSAR: M step of the EM algorithm.
- Mstep.nh.MSAR: M step of the EM algorithm.
- Mstep.nh.MSAR.VM: M step of the EM algorithm for von Mises MSAR models
- Mstep.nh.MSAR.VM: M step of the EM algorithm for von Mises MSAR models
- Mstep.nn.MSAR: M step of the EM algorithm.
- Mstep.nn.MSAR: M step of the EM algorithm.
- nhforwards_backwards: Forward Backward for MSAR models with non homogeneous...
- nhforwards_backwards: Forward Backward for MSAR models with non homogeneous...
- NH-MSAR-package: (Non) Homogeneous Markov switching autoregressive model
- NH-MSAR-package: (Non) Homogeneous Markov switching autoregressive model
- PibDetteDemoc: Annual GDP and Debt data 1970-2010
- PibDetteDemoc: Annual GDP and Debt data 1970-2010
- prediction.MSAR: One step ahead predict for (non) homogeneous MSAR models
- prediction.MSAR: One step ahead predict for (non) homogeneous MSAR models
- regimes.plot.MSAR: Plot MSAR time series with regimes
- regimes.plot.MSAR: Plot MSAR time series with regimes
- simule_MC: Simulates Markov chain of length T
- simule_MC: Simulates Markov chain of length T
- simule.nh.MSAR: Simulation of (non) homogeneous Markov Stiwtching...
- simule.nh.MSAR: Simulation of (non) homogeneous Markov Stiwtching...
- simule.nh.MSAR.VM: Simulation of (non) homogeneous Markov Stiwtching...
- simule.nh.MSAR.VM: Simulation of (non) homogeneous Markov Stiwtching...
- test.model.MSAR: Performs bootstrap statistical tests to validate MSAR models.
- test.model.MSAR: Performs bootstrap statistical tests to validate MSAR models.
- test.model.vect.MSAR: Performs bootstrap statistical tests on covariance to...
- test.model.vect.MSAR: Performs bootstrap statistical tests on covariance to...
- valid_all: Statistics plotting for validation of MSAR models
- valid_all: Statistics plotting for validation of MSAR models
- Wind: Winter wind data at 18 locations offshore of France
- Wind: Winter wind data at 18 locations offshore of France
- WindDir: January wind direction at Ouessant
- WindDir: January wind direction at Ouessant