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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