multiplierfun: 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

multiplierfun(MC, s, n)

Arguments

MC	n x n matrix = MM - C, with MM[i,j] = 1(Xi <= Xj) and C=mean(M[,j]);
n	length of the series.

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

Chapter 8 of B. Remillard (2013). Statistical Methods for Financial Engineering, Chapman and Hall/CRC Financial Mathematics Series, Taylor & Francis.

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