Description Usage Arguments Value Author(s) References
View source: R/multiplierfun.R
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.
1 | multiplierfun(MC, s, n)
|
MC |
n x n matrix = MM - C, with MM[i,j] = 1(Xi <= Xj) and C=mean(M[,j]); |
n |
length of the series. |
cvm |
simulated value of the Cramer-von Mises statistic |
ks |
simulated value of the Kolmogorov-Smirnov statistic |
Bouchra R Nasri and Bruno N Remillard, August 6, 2020
Chapter 8 of B. Remillard (2013). Statistical Methods for Financial Engineering, Chapman and Hall/CRC Financial Mathematics Series, Taylor & Francis.
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