Nothing
context("CUSUMLM")
set.seed(410)
T <- 100
d <- 0
x <- fracdiff::fracdiff.sim(n=T, d=d)$series
expect_error(CUSUMLM(c(x,NA), d=d, delta=0.65))
expect_error(CUSUMLM(x, d=d, delta=0.65,tau=2))
expect_error(CUSUMLM(x, d=d, delta=1))
expect_warning(CUSUMLM(x, d=d, delta=0.65,tau=0.1))
x=stats::ts(x)
expect_error(CUSUMLM(x, d=d, delta=0.65))
# size
T = 100
d_grid = c(0.1,0.2)
for(b in 1:length(d_grid))
{
d = d_grid[b]
q = 0
for(i in 1:15)
{
x = fracdiff::fracdiff.sim(n=T, d=d)$series
mod = CUSUMLM(x, d=d, delta=0.65)
q = q+sum(mod[4]>mod[3])
}
expect_lt(q,11) #test should not reject H0 (which is true) in more than 10 of 15 cases at the 99 percent level
}
# power
T = 100
d_grid = c(0.1,0.2)
for(b in 1:length(d_grid))
{
d = d_grid[b]
q = 0
for(i in 1:15)
{
x = fracdiff::fracdiff.sim(n=T, d=d)$series
changep = c(rep(0,T/2), rep(1,T/2))
x = x+changep
mod = CUSUMLM(x, d=d, delta=0.65)
q = q+sum(mod[4]>mod[1])
}
expect_gt(q,2) #test should reject H0 at least in three of 15 cases at the 90 percent level
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.