pvaldistance: Distance Measures of Empirical Probability Functions In bootruin: A Bootstrap Test for the Probability of Ruin in the Classical Risk Process

Description

This function provides a framework to evaluate various measures of distance between an empirical distribution (induced by the dataset provided) and a theoretical probability distribution.

Usage

 1 pvaldistance(x, method = c("ks", "cvm"), dist.to = c("uniform"))

Arguments

 x a numeric vector containing a data sample. method a character string indicating which measure of distance is computed. dist.to a character string determining the (theoretical) probability distribution that is used as a reference.

Details

method = "ks" gives the Kolmogorov-Smirnov distance.

method = "cvm" yields the Cramér-von-Mises criterion (scaled with the sample size).

Value

A positive real number giving the distance measure.

Note

At the moment, dist.to = "uniform" (the uniform distribution on the unit interval) is the only valid option for the theoretical distribution, and hence the members of x have to lie in the unit interval.