Description Usage Arguments Details Value Author(s) See Also
View source: R/test.model.vect.MSAR.R
Performs bootstrap statistical on covariance to validate MSVAR models.
1 | test.model.vect.MSAR(data,simu,lag=NULL)
|
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) |
Test statistics
S = || C_n-C ||
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 |
Valerie Monbet, valerie.monbet@univ-rennes1.fr
valid_all, test.model.MSAR
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