multiplierDSeqfun: Function to perform multiplier bootstrap for changepoint
In changepointTests: Change Point Tests for Joint Distributions and Copulas
View source: R/multiplierDSeqfun.R
multiplierDSeqfun R 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.
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View source: R/multiplierDSeqfun.R
| multiplierDSeqfun | R 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).
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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