Description Usage Arguments Details Value Note References See Also
This function provides p-values for the test of the probability of ruin using one of two different methods.
1 |
x |
The observed values of the test statistic as numeric vector or matrix, see Details. |
method |
A character string determining the method used. |
x.boot |
The bootstrap replications that |
This function is not intended to be used by itself, but rather in combination with
rpteststat
. Hence, ideally, both x
and x.boot
stem from a call of the
latter.
If method = "bootstrap"
, then bootstrap p-values are computed. The values of x
are
compared to those of x.boot
. The number of rows of x.boot
has to match the number of
columns of x
(or its length if it is a vector). For most applications, however, x
will
be a single number and x.boot
will be the bootstrap replications of x
For method = "normal"
the p-values are computed using the asymptotic normal approximation of
the test statistic. x
can be a vector, a matrix or an array of numerics.
The elements of x
are interpreted as statistics of separate, independent tests, and adjusting
the p-values for multiple comparison may be necessary.
A numeric (vector, matrix or array) with the same dimension as x
.
If method = "normal"
, the argument x.boot
is not used and a warning is issued if it is
still provided.
Baumgartner, B. and Gatto, R. (2010) A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process. ASTIN Bulletin, 40(1), pp. 241–255.
See rpteststat
for the computation of the test statistics, ruinprob
for
computating the probability of ruin, and rpjack
for the computation of the standard
errors.
p.adjust
from the package stats provides methods to adjust p-values for
multiple testing.
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