pseudos: Pseudo-observations

In changepointTests: Change Point Tests for Joint Distributions and Copulas

Description

Pseudo-observations used in Nasri, Remillard, Bahraoui (2021). The values represent conditional cdfs of Gaussian HMM models applied to log-returns of Nasdaq and Dow Jones Industrial indexes from 2007 and 2008. If the models are correct, the pseudo-observations should be almost iid with uniform distribution.

Usage

data(pseudos)

Format

Pseudo-observations from Gaussian HMM models with 3 regimes for log-returns of the to Nasdaq index and Dow Jones Industrial indexes from 2007 and 2008.

• 1st column: pseudo-observations of a Gaussian HMM model with 3 regimes applied to the Nasdaq log-returns.

• 2nd column: pseudo-observations of a Gaussian HMM model with 3 regimes applied to the Dow Jones Industrial log-returns.

changepointTests documentation built on July 27, 2021, 9:07 a.m.