multiplierDNonSeqfun: Function to perform multiplier bootstrap for changepoint

In changepointTests: Change Point Tests for Joint Distributions and Copulas

Function to perform multiplier bootstrap for changepoint

Description

This function simulates a random sample of Gaussian multipliers null hypothesis of a Gaussian HMM and compute the Cramer-von Mises and Kolmogorov-Smirnov test statistics.

Usage

multiplierDNonSeqfun(MC, MC1, grad, s, n, d)

Arguments

MC	matrix needed for multipliers
MC1	matrices needed for multipliers
grad	gradient of the copula
s	sequence of normalized values in (0,1)
n	length of the series
d	number of variables

Value

cvm	simulated value of the Cramer-von Mises statistic
ks	simulated value of the Kolmogorov-Smirnov statistic

Author(s)

Bouchra R Nasri and Bruno N Remillard, August 6, 2020

References

Nasri, B. R. Remillard, B., & Bahraoui, T. (2022).

changepointTests documentation built on Sept. 30, 2024, 9:24 a.m.