multiplierDSeqfun: Function to perform multiplier bootstrap for changepoint

View source: R/multiplierDSeqfun.R

multiplierDSeqfunR Documentation

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

multiplierDSeqfun(U, grad, n, d)

Arguments

U

matrix needed for multipliers

grad

gradient of the copula

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 May 29, 2024, 2:05 a.m.